They share some files? Why do you say that, what files do they share?
The VM is self-contained, it has a virtual disk that is very much, as far as the information in it, like a real disk on a PC, when you delete a VM and decide not to keep the files it's like formatting the PC.
You can share files and folders between the Host, OS X, and the VMs, this is set in the Sharing section of the configuration, so your OS X files can appear on the VMs, deleting a VM does not delete these files.
I cannot be more specific than this because I have no idea what files are you talking about and how you reached the conclusion they are shared (if you are correct or not).