I am also having the same issue with Parallels 9 not launching any Windows applications from the Mac Finder. It doesn't matter if it's in coherence mode or not; I have to open the Windows program first and then open the file I want to work with. Very annoying for an "upgrade" to break such a fundamental feature. I am on the latest OS X Mountain Lion and using a Windows XP VM. I had no issues with Parallels 7 or 8. I used the "report a problem.." feature; hopefully it gets fixed soon.
Edit: MarcelloS posted the solution in another thread. You have to disable the "Shared Cloud" feature and the problem will be fixed.
http://forum.parallels.com/showthre...10-Applications-from-Open-With-menu-in-Finder
Last edited: Sep 11, 2013