I have all my VMs on an external Thunderbolt4/USB4 SSD (on a 15" M3 MacBook Air, with Parallels Desktop Pro 20.4.0 and macOS Sequoia 15.5); some of them, I originally created on the Mac's internal SSD (and then moved), others I subsequently created directly on the external drive: now, the first ones, which were moved from the internal to the external drive, correctly have the clickable orange disk badge that makes clear that they are on an external drive; while those created directly on the external drive strangely have no badges (as if they were on an internal drive): so, how do I get the badges also on the newly created VMs (or, alternatively, remove the badges from the "old" ones)...? Of course, I would like all the VMs in the Control Centre to behave the same, as they are all on the same external drive. Thanks...
Now, this is interesting: I connected the USB4 SSD to an ordinary USB-C port on a hub, and magically the orange disk badges appeared on all VMs, also the ones previously without badge. So, it looks like Thunderbolt or USB4 SSDs aren't really seen as external drives: could it be so...? Anyway, after reconnecting the external VM SSD to an the integrated Thunderbolt/USB4 port on the MacBook Air, the badges luckily remained on all VMs: so, this workaround effectively solved the problem. Of course, it would be even better if the orange disk badges were assigned automatically also to new VMs, on any type of external disk...
... And, finally, I found the solution (at least, until everything will be automatic)...! For the VMs on an external disk that won't get the orange badge, do this in the Terminal: sudo nano /Library/Preferences/Parallels/vmdirectorylist.desktop.xml ... and then, in the sections of the interested VMs, edit these lines: <VmFilesLocation>3</VmFilesLocation> <VmLocationName>VM</VmLocationName> ... respectively adding a 3 and the name of the external disk (VM, in my case). A little complicated, maybe: but this adds the orange external disk badge also to newly created VMs...