Fix
Here is the fix that works for me and allows me to keep my documents in sync between VMs and OSX.
In Parallels unset the documents as a shared folder.
THEN
Create a mapped network drive to \\psf\\Home (I used N as that will be more persistent than using the default Z:
Then in the start menu, right click on the My Documents link, and go to Properties.
Change the target to N:\Documents.
(This works for me on the latest patch of AoE 3)
Last edited: Jul 16, 2012