Note this has nothing to do with my previous post. I recently tried a clean install of Windows 10. I used the existing virtual machine & created a new drive image using it as the primary hard drive (so as to maintain the activation after the upgrade). Once completed I noticed that if I go into My Computer > Documents I do NOT get the shared downloads folder. Instead I end up with the local version of this folder. Same goes for all shared user folders, sans Desktop folder which does open the correct folder. The attached screenshots shows it best. Shared folders is enabled for Documents, The network version of this folders shows my Mac documents folder has multiple sub-fodlers, yet the My Computer > Documents version of this folder is completely empty. Prior to my clean install this worked as expected. I have tried disabling and re-enabling the shared folder feature, which had no effect (after each change Parallels Tools forced a logout, first to disable, then to re-enable). Only enough in the left sidebar that shows My Computer with the same folders under it, if I right click on Documents then select show in finder, it shows the expected folder in finder in spite of an empty folder showing on the windows side.
So I found these can be changed by right clicking, choosing properties then going to Location & pointing them at the proper folders.