This is supported for Linux and Windows VMs, but not for MacOS VMs right now. I can go use VMWare Fusion and get embedded virtualization for my MacOS VMs, which is what I am doing now. But VMWare Fusion sucks and I would much rather use Parallels for this task.
And by "This is supported", I mean the title of this request, being, Embedded Virtualization is supported for Linux and Windows VMs on parallels. Just in case that is not clear, lol.