If you're not otherwise using Windows file sharing, you can set up an additional, host-only network adapter in the VM and configure the Windows firewall to only allow file sharing connections from that adapter. Furthermore, you can restrict access to Windows shares on a per-share, per-user basis, or deny other users the right to log in to your Windows VM over the network altogether.
While I'm not familiar with Parallels, why would you assume their solution is any more secure? Especially in a domain environment, as it almost certainly includes multiple users: when accessing files via the Parallels mechanism, are filesystem access checks done against the correct user account, including cases where this user is not logged on to the Windows VM interactively? What about when two users are logged in to both the Mac and the Windows VM at the same time? Are files created through mechanism owned by the correct user? Does using the Parallels mechanism trigger appropriate audit log events, and (again) do they correctly identify the user who took (or at least attempted) the audited action? And so on.