Hi RobF1,
Please follow the steps suggested below and let us know how it works.
1. Enable smart mount by to > Virtual Machine configure ( http://kb.parallels.com/117287 )> Options > Sharing > under share Windows > Select shortcuts to Virtual disks on Mac desktop.
2. Install Parallels Tools manually as suggested at http://kb.parallels.com/en/112609 and check if the issue still persisting.
I have exact same problem. Yosemite 10.10.4, Parallels 10.2.2 (29105). Yesterday morning I still had my C drive showing up in the mac finder, during the afternoon it disappeared, and I have checked and done the steps above, and it hasn't helped. I also get the same error message that Paul_Reynolds posted on Nov 24, 2014. Colleagues suggest reinstalling Parallels, but this just feels an unbearable last resort.