It is probably true in Parallels Desktop too (I use VMware Fusion as well) that you cannot access the same CD at the same time from both the Mac and virtual machine at the same time. That would set up potential conflicts, since a optical drive is NOT a random access device like a hard drive.
In VMware Fusion, you do not need to eject the optical disc physically from the virtual machine. Along the bottom of the virtual machine's window, toward the right side, are device controls. One of them is for the optical drive (the icon looks like a disc). If there is a disc currently inserted that the virtual machine is now using, right-click there and select +Disconnect CD/DVD+. This will virtually eject the disc and it will show up on the Mac's Desktop. Conversely, if the disc is now on the Mac's Desktop, right click the same icon and select +Connect CD/DVD+. The disc will appear in the virtual machine and disappear from the Mac's Desktop. So you
send the disc back and forth without physically ejecting it.
From that same right-click menu, you can also mount a disk image (such as a .iso file) as a real disc.
Parallels is fairly similar (and the old Connectix/Microsoft Virtual PC had similar controls), so it may work the same way as VMware Fusion.