Yup. Ethernet has a higher priority than the USB modem in the networking preferences, so as soon as the ethernet goes hot, it switches all networking (including internet access) to the ethernet port.
I forget how you can have multiple network interfaces live at once, but wqhat I would tell you is to ditch the USB and get a real ethernet DSL modem and a router (you can also get them combined into one box), and then use ethernet for file sharing and internet access simultaneously.
tooki