Hi Dell1295,
On your Mac, you should be able to go to the Apple menu > System Preferences > Apple ID > iCloud > iCloud Drive and therein, uncheck Parallels (assuming it shows up). This will disable the sync from the Mac to iCloud (if you have it showing up on any associated devices as well, uncheck it there as well) and then, I would suggest rebooting your Mac. At this point, you should be able to go to your iCloud Drive on your Mac and delete the Parallels folder (not just Move to Trash, but then Empty Trash). The trash emptying may take some time, so be patient.
As to the Windows 11 ARM addition seeming using File Explorer to sync files to iCloud, it sounds like you have iCloud installed on Windows, I am not a Windows user; but the following maybe helpful in turning it off there:
https://support.apple.com/en-ca/HT201391
https://answers.microsoft.com/en-us/msoffice/forum/all/how-do-you-disable-icloud-syncing/a9e9b2a0-5362-4e7d-b96e-c86f9e18a7ce
That said, good luck and write back if you've further issues and the community will try to help you out.
Cheers,
Anthony