The basic issue is that this Global Sharing option, which allows easy drag-and-drop app launching between OS X and Windows, is given carte blanche access to your Mac hard drive. Worse yet, this option is enabled by default, at least in beta build 3150 which I am currently running. Users upgrading from a previous version, to get awesome features like Coherence Mode, booting from Boot Camp partitions, and full USB support, may be vulnerable without even realizing this feature was slipped in.

The basic problem boils down to privilege separation. Parallels runs with the full rights of your OS X user, so in theory an attack could be developed and spread via Windows vulnerabilities that could then drop malicious code into OS X. It could also delete files or alter security and other settings.

Allowing Windows, known to be so insecure, to have this sort of access rights to the host operating system is a major misstep by the Parallels team. So if you run Parallels betas, please make sure you disable this feature (Edit -> Virtual Machine -> Shared Folders then uncheck the "Enable global sharing for drag-and-drop" checkbox and save. You'll need to shut down the virtual machine to have access to change this setting.