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Just wanted to thank everyone for all the great suggestions and help. This forum is truly valuable and it makes me glad to have purchased Parallels.
Since it seems like this is the only response we're going to get on the issue, I followed this and the report ID is 466756876.
I've done some searching and haven't found an answer for what seems to be a basic question. Loads of clicking around in the settings and other...
Set up my first MacOS VM and it went fairly smoothly, but I'm seeing the same thing. Try to install Parallels Tools, it brings up the installer...