Mac keep asking "File Explorer" would like to access files in your Documents folder."

Despite the "File explorer" is listed and enabled in the Security and Privacy Files and Folders setting in the MacOS control panel when I try to drag from the explorer to the MacOS desktop some files which are saved in the network drives AllFiles on Mac I keep receiving the message "File Explorer" would like to access files in your Documents folder."
This never happened with the previous Parallels version (I installed since a few days the V18).

 

I am having the same issue. I can't drag from documents open on windows file explorer to mac finder windows. Can we get some help?

The exact message is file explorer would like to access files on a network volume for me