I have a similar issue. It has been ongoing and presents intermittently. I only use MS Excel on Win 11 ARM on a MB Pro running Monterey. Everything is updated to the latest versions. (Excel, Mac OS, Win 11 ARM, Parallels). I routinely cannot use "Save As" feature within Windows Excel to save to a Mac volume (presented by default as \\Mac > Dir >Subdir within the Windows Excel UI). However, I can make it work for a little while (minutes, hours if I stay in the same workbook) by using Windows Explorer to browse the list of network drives that are mapped from the guest OS to my Mac. Literally clicking on the Z drive, then the Y drive, then the X drive within Windows. It seems to re-open the connection to the Mac file system on a temporary basis so that I can save Excel. Functional but inefficient and profoundly annoying. Despite several reviews to the contrary that I suspect are planted PR efforts, I've found the ARM transition to be disappointing. Major gripes are the large amounts of additional RAM allocated by the OS beyond what the Guest OS actually has access to, bizarre compatibility glitches with peripherals like external mice and keyboards and this super irritating file system sharing issue within Excel.
I have consulted with support but as soon as I used my Windows Explorer trick to make it work, they determined the issue was solved and moved on. I have a number of colleagues who use a similar setup as I do because of the need for a full functional Excel application and I've warned them that I have less RAM available on a 32 GB ARM MB Pro than I did on a 16 GB Intel MB Pro running the same functional setup, plus all of the annoying glitches that have forced me to buy multiple keyboards and mice to solve. While it's worth the trouble if you absolutely need the capability, you really need to be motivated and have some additional resources to throw at managing these headaches. My impression is that the ARM migration is much harder for the software companies to get right than anyone is letting on, even after being generally available in the market for well over a year. If any one finds a solution that makes the shared file system access reliable across these two platforms, please post here.
Thanks,
Adam