Sounds as if you have a Mac driver that does not support colour. Bonjour prints from windows to the printer as shared by the Mac, so it has the same limitation.
I can see two choices.
1. Find a better Mac driver that supports colour, and you will get colour for Windows too via Bonjour
2. Download the Windows driver for your printer and install it in Parallels. Print directly by USB from Windows. That does not work for every printer, but it does for both of mine (an Epson inkjet and a Brother laser). And of course it won't give you colour on the Mac side unless you can get Bonjour working in the opposite direction.