This could be a question to mendix on the Studio Pro installation in Windows 11 running on Parallels.
Meanwhile do you have any other folder where you can store your mendix project?
Meaning, when you first create your project it presents you with a windows with options, in which you need to choose if you want a Team Server project or not etc. In that 1 of the options is where do you want your project to sit. In that option browse to windows 11 filesystem location and not a shared drive (which gets created because of the VM setup that you have)
FYI I am running the same setup(not parallels but on UTM which is free) and i dont have any issues if i choose the right folder.