Windows hidden files are shown on macOS via Shared Profile, but even when I isolate Windows virtual machine from the Mac (or turn off Parallels Desktop Sharing Tools), hidden files are still visible on macOS.
Hidden files are a vital part of Windows file system, when Windows is isolated from the Mac such files are kept on Mac along with other files created by a user from within Windows (e.g. docx and pptx Microsoft Office documents).
Parallels Desktop Sharing Tools are working like this as intended by design to keep the user's data safe.
To remove Windows hidden files from Mac, open Finder and search your Mac for files by filename, e.g. $RECYCLE.BIN, then remove the files: