There is nothing under %appdata%\disparity either. (I did search the entire Documents and Settings for “disparity”.)
The 0.34 seemed to have closed, but maybe I should have fired up a ProcessExplorer to see if it really was. Maybe ... just speculating ... as it closed irregularly, a file handle might still have been up, and 0.21 seems not too happy with files being touched by other applications.
Anyway, now I did manage to correct everything, and run a successful update (with changes and then one without) under 0.21 with 0.34 open.
(How I corrected stuff? Seemed it needed some space for temporary files, overfilling my already nearly-full parity drive. So I temporarily moved parity0.dat (unchanged since October) off the drive, ran update, moved back parity0.dat and now everything works (under 0.21), including adds on both drives – it isn't fuller than that.)