I'm a big fan of Coherence feature and I'd like to get rid of Windows Taskbar out of the UI picture as well. However, some of the Windows apps I use run in the tray area, and the apps will close only from there, and it does not show up in the Dock like other apps. I wish Parallels can handle these apps in the OS X Dock as well, and replicate the menus that pop up when I click (or right-click) on such tray-area apps. Of course, if I'm unaware of an option that allows this, please point me to it, by all means.
I'd love this as well. It seems that once something goes to the tray, it disappears from the running list and the only way to bring it back is to go into full-screen (assuming you aren't showing the taskbar).