Snow Leopard Server as a Parallels VM

Yes - it is technically possible.

The Leopard and Snow Leopard installers look for a file (even if it's empty) named /System/Library/CoreServices/ServerVersion.plist

Armed with this, you should be able to search for many "how-to" articles like this.

Be aware, the comments on the page call out issues that this "hack" causes when running the OS (software updates is confused by this file's presence/absence)

Legal and moral issues aside. (I'm not a lawyer but I too fail to see how the license prevents you from virtualizing your legally purchased Snow Leopard on a legally purchased Mid 2011 MacBook Air)

Think of this as an iOS jailbreak - someone has to stay on top of the things that these changes break, but the payoff may be well worth the hassle.

I received a correct answer on VMWare community forum:

Using VMware Shared Folders requires VMware Tools be installed in the Guest OS, have you installed VMware Tools?

If yes make sure you have Shared Folders turned on in the Virtual Machine Settings and have added a shared folder.

If that has been done there should be a VMware Shared Folders alias on the Guest OSes Desktop.

Also look in /Volumes for a directory named VMware Shared Folders as that is the mount point in OS X for VMware Shared Folders.