OK, even with the latest Parallels build (4.0.3540) the problem still happens. However, I have noticed that it only happens on RESUME. So if I start up XP SP3, all's well. I then close Parallels and suspend the VM. I startup Parallels again, resume XP SP3 ... and that's when two things happen:
1. MacOS Finder's Connected Servers preference is forced to ON.
2. The Windows Taskbar is _also_ forced to display, even if it was previously hidden.