The HDD enclosure is just a Probox 8 that plugs in via USB. I suppose I did not need to mention it as it does not affect my issue.
Passthrough - I click on the Linux VM when I get asked by Parallels system should get the HDDs.
mergerfs is a union filesystem geared towards simplifying storage and management of files across numerous commodity storage devices
It mounts multiple storage devices into a single point and manages storing information on each device for me
The folder is the mount point of mergerfs
Under "Sharing", I see "Share Mac" and "Share Windows" options on my Windows VM.
I checked the links and most were not applicable to my situation. But thank you for your response.