I have exaclty the same problem.
When you're also using Bootcamp there are serveral reasons to set up threee partitions (eg write data when loading windows natively without any HFS+ drivers like Macdrive).
When I use each OS separately, I can access my data partition without any problems (in my case FAT32, in Windows drive letter D: is assigned)
When I start Parallels, I cannot access this partition anymore and win explorer sais that this partiton need to be formatted. With the following changes the drive is available in Parallels (setup/hardware/harddisk1, select your data partition). Now it completely works linke in windows natively (as drive letter D

...But at the same time it is no longer available in MacOS.
I'm not completely sure if that will work in general (Harddisk mountet by two OS could cause bad karma and so on...), but my idea was to access (and write) data from all three configurations (MacOS only, Win only, MacOS with parallels).
One workaround is to set up a shared folder in parallels setup where you can choose this partition. Then the unaccessible partition still exists, but paralles integrates a shared folder like Y: with the same content.
I have still two problems with this workaround:
(1) the data partition is no longer availabe under drive letter D: ,so that links, dropbox etc. is no longer working (and it also shoud work when running Win natively). I did not find a way to tell Parallel to use drive letter D: for the shared folder, before the not usable data partition will catch the drive letter (what's ok when win is running natively).
(2) it's slow like my grandfather's grandma (only the shared folder, when setting up that's only available in win, like described above, it's really fast.
Any ideas?
Thanks a lot and best regards