I couldn't find any info on a fix, either.
But, I think I stumbled on a solution:
While running a VM, open up the VM's Configuration. Go to "Shared Applications", check "Share Windows applications with Mac OS X, then check "Show Windows applications folder in Dock". Let the VM create the folder. You can add one of your own document aliases now.
Then, while still running the VM, uncheck the "Show Windows applications folder in Dock" option. It should give you the removal warning, but only remove the one folder - leaving your own alias alone.
While still running Parallels 5, do this for each VM (enable the share windows applications option, then uncheck - it should still leave your own document alias alone)
As a side note, I notice Parallels only accidentally removes document aliases - not folder.
I hope they have a fix for this in the next update - it was a bit of a pain to fiddle with it to have it leave my stuff alone (grrrr

).