It would appear that on older Bethesda games the Parallels Display Adapter (the VM's integrated graphics) fails to function properly on Parallels 17. It causes the error 'Failed to Initialize Renderer'. I am unaware if this is an error caused by recent updates or changes not stated to the VM...
The title pretty much sums it up. Whether it's supported via bluetooth or wired, the Pro Controller is a really nice and comfortable controller, and it seems a shame that it's not already supported.