I found an alternative to disabling that feature. Sometimes it is nice for parallels to open a Windows only file but I hate when it opens a file and it tries to load Windows when it could have just opended with an Mac app.
SOLUTION: Just require a password to change VM states. This was you can just press cancel if the file opens with the wrong app and use the Open With.. option from the option menu to select the Mac app you want to open the file with. (Be sure to set the app as the default for that file type too.)
1. Enable "Require password to: Change virtual machine state from "My Boot Camp"/"Windows 10" Configuration > Security.
When your Mac tries to open a file for windows you need to type your login password or it will not start. if you didn't mean to use Windows just press cancel and no funny business trying to stop windows from taking over your Mac.
OPTIONAL: Change your file's association to prevent the issue from occuringin the future.
1. locate the file that causes the Mac to open Windows unexpectedly and use the "Open With..." option from the option menu.
2. Select Other... so you can choose a new default app to open the file.
3. Enable "Always Open With" then select the app you want to use for the file and select it from the Application folder.
The previously desribed method from the earlier post is what I tried initially. However, it will stop this behavior for all apps; even ones that can only be opened in Windows. I find it easier to confirm that I want to open a Windows file by typing my password instead.