Parallel exits full screen whenever I login after Lock Screen with an external monitor

I assume similar issues have been reported multiple times, and I went through many posts addressing similar (but not the same) issue.

My configuration includes MacBook Pro M1 with Sonoma 14.4.1, Parallels 19 and Windows 11. Usually, I have an external monitor attached via USB-C (actually it's a USB-C hub, with an HDMI monitor attached to it) and work in Windows 11 with full screen turned on, on all screens (integrated and external).
However, when my Mac locks the screen (either because of non-activity, or because of closing the lid), when I login again and Parallels exits Lock Screen if the external monitor is still attached. Interestingly, if there is no external monitor attached when I login, the full screen mostly remains activated.

Am I the only one experiencing this, or did someone found a solution/workaround to this?

 

My issue is the reverse, after a while Windows is at the Lock Screen and macOS Sonoma is also locked. Randomly, I return to go back to work in Windows after logging in to macOS I'm then greeted to a minimized window view of Parallels 19. Windows is at its locked screen. Parallels managed to kick me out of fullscreen mode even when a required password is required to make changes. Why is that?