I followed the instructions from this: http://kb.parallels.com/en/114322 But while it disables it in macOS, in Windows I still do not get back/forward working in File Explorer, Chrome, Edge, etc... I don't know if it should make any difference but I'm using PD 12 for Mac Pro edition.
The solution in the end was to go to Logitech Control Center and re-map the thumb back button to 'Advanced Click' Button 5 and thumb forward button to 'Advanced Click' Button 6. Now it works. I've already contacted Parallels Facebook with this information to hopefully update their knowledge base.