Even allowing for the difference between Quicken and QuickBooks, I don't totally understand.
I also have my QuickBooks data files in a folder on my VM's C: drive, but QB lets me back them up to a Parallels Shared Folder. This means that when I make a SuperDuper clone of my Mac hard drive, the QB backups are included. My QB data files, which are in the VM image, are also being backed up by SD. Isn't this what is happening to you?
I am surprised that no other Quicken for Windows user has responded to you--maybe you are better off asking in a Quicken forum if there are any Parallels users with the same problem.
David