Hi I have upgraded to Big Sur just recently, current version. Parallels current versions of all tools and so on. I pressed update before verification. The problems described here did not happen on Catalina. I used Ubuntu 20.04 and Debian (current version) to verify this. I download a pdf from the web. It downloads fine. I open it on Linux, fine. I copy it to macOS. File format not recognised. Tried again. Same story. Created a new VM with Debian, same story. So I zipped the PDF and copied it to macOS, zip format not recognised I gzipped the PDF and then copied it to macOS: gzip format not recognised. No matter what format the file has, I copy from Linux to mac, they are not recognised. For Debian and Ubuntu. Have not tried windows yet. I have done this 100 times in the past without any issues. So it appears to me something in Big Sur has changed. But when will parallels reflect this?
Double-check to see if Mac is disk shared under the VM settings. That said, there used to be a problem saving from Linux to Mac where it basically did a 'touch' to create an empty file. Always thought it was a privileges issue and which OS had control of the drive - may have been back in Mojave, but can't remember. Sounds like this is back in Big Sur. I used to get around it by saving to a small USB thumb drive in the Linux VM. Then, while in macOS then copying it from the thumb drive. It's a pain, but then you don't have to guess.
Most likely, you are stumbling on the extended attribute assigned to the file from unknown source. Just run Code: xattr -r -d com.apple.quarantine the_file_or_dir_you_copied_over and try to open it again