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How can this be Parallels Desktop Pro be a Pro product when it's missing support for this and the main competitor has had it for over a year?...
Bump.
I should perhaps mention that was a somewhat unusual configuration; running Mojave in a VM on a 2021 MBP. I don't know if that mattered or not.
In 2021 running the most recent Parallels (Pro also), I also had to change hypervisor to "Parallels". "Apple" did not work.