Regardless of the guest operating system used, and whether or not "Do not show again" is checked, Parallels 9 will display this dialog the first time a Virtual Machine is run and goes into Full Screen mode.
Same here. If you check the box after the first time, it does not show up again for VM until Parallels app is quit. If you then rerun parallels and open VM in full screen mode the message shows up again. Running latest version of P9 as of today (3 Nov 2013). Similar post: http://forum.parallels.com/showthre...-always-appears-when-boot-into-Full-Screen-VM