This is related to using SymLinks for Documents and Desktop. I currently symlink these folders to a BOX SYNC folder so that I continuously backup these folders.
I found a (kludgy) workaround...
1) Under the VM configuration OPTIONS | SHARING - Uncheck "Share Mac user folders with Windows" but leave SHARE FOLDERS set to HOME Only or All Disk.
2) In Windows 10, right click on each of the Desktop, Documents and Downloads folders (assuming those are what you want to share) and select PROPERTIES | LOCATION. On that tab select MOVE and use the network location (not the mapped drive letter) for your folders on the Host side. For example, on my machine:
Guest Desktop -> \\Mac\Home\Box Sync\BELK\Desktop
Guest Documents -> \\Mac\Home\Box Sync\BELK\Documents
Guest Download -> \\Mac\Home\Downloads
(PS - assuming you were sharing before, don't copy the files from Old to New - since the source of truth is the Host.)
This seems to work OK - though login is a bit slower since Windows is waiting for these resources to become available before it completes the login process (presumably waiting for Parallel Tools to map \\Mac\Home )
I've wasted too much time on this - but I'm fairly certain I did NOT need this work-around on Win7 and Parallels 13 (which was what I was using before a few weeks ago. Bit the bullet on upgrading to Win10 and decided it was probably time to move up on Parallels - but questioning both decisions at this point...)
I'm no software engineer so I can't explain why Parallels / Parallels Tools cannot follow SYMLINKS, but a search of the forums seems to show this has been an ongoing issue (though again, I'm 99% sure I did NOT have this issue with Win7/Parallels 13 using the builtin Desktop and Documents sharing along with Office 16 installed on Parallels.)