I have the same problem, except in my case the problem is triggered "MOST" of the time when the system goes to sleep. System worked fine until I updated to Catalina. I updated Parallels 15.1.3 47255.
I've disabled the sound files in the VM. I've disabled them every where I can find them, speakers, outputs, microphone, camera, all in the VM. I have a 2nd monitor, I tried the VGA connection, the HDMI connection. The ASUSV239 has two versions, one with speakers, one without. I have the one without. If I disconnect the 2nd monitor and sleep the system, it does not usually happen. I followed some suggestion and used the MIDI feature to make a combined sound output. Sometimes it seems to work, other times, no effect.
Spotify plays through sleep, to a point. If I leave it playing, sometimes, it will stay alive. I've tried resetting CoreAudio. but it doesn't do anything for me. When its gone, the only thing I can do is restart the MAC - a royal pain in the behind, especially when someone calls in to have a video conference. It looks like I'm asleep.
I tried resetting NVRAM, and some other things Apple Tech suggested. No joy there.
I just tried resetting the SMC, and switching Hypervisor to Apple as suggested above. Cursor check seems to work, but VM wasn't totally asleep, as I saw a notification that Windows was updating (AGAIN).
I will let know how it goes, but as a software engineer myself, its pretty clear Catalina made some change that is creating some kind of issue with Parallels. You and Apple should work together to sort this out, especially if the Hypervisor has any effect. It least it might help point to were to look.