Philip, it might very well be that you are using the bootcamp partition on your computer, but I can not say that for sure. I have not fully installed any version of windows on my Mac with bootcamp yet, though I do plan to in the near future. I have however already setup a partition for the purpose of this, and by default, it appears on my desktop by itself. As the bootcamp partition is just another partition on the hard drive, it makes perfect sense to locate it on the desktop, just the same you would any other hard drive, disk, image file, and the such.
It seems to me that PD would have to either eject the partition from Mac OS to utilize, or it might just leave the partition mounted. In the event that the partition stays mounted in Mac OS, I would just utilize MacFuse along with NTFS-3G to deal with interfacing with it from Mac OS. On the other hand, if it does eject the partition from, then it would make sense it should work the same as if running from a virtual disk.
In either event, utilizing abrasha's info, I found a way to force PD4 to update the Finder changes as well, and would appear to me as a possible option for you to attempt, just to verify there is no communication issues from PD4 to Finder about the setting. Since I came across a newer thread relating to the non-mounting virtual disk that had response from the Parallels Team already, I decided to use that thread instead. You can find the information
here.