If you've enabled Documents and Desktop in The Cloud on macOS Sierra, yes, they are.
Don't think it does if you only have one machines, but if you have multiple, it changes the file structure a bit, giving you one desktop and one documents folder, and then placing your old documents and desktops within those as folders. Just point Parallels to the location of your Windows image and it should work fine - if not, try waiting a bit and see if it's just downloading syncing with iCloud and will work afterwards - if still not working, move it to another folder in your Home and run it from there