I have the same problem!
First it works. About
1 minute later the
whole windows graphics freeze (not even mouse can move), but the
audio and microphone still work! Then after another minute it usually recovers - but not always (see next).
Today (again) I got the following error message:

It seems like a
memory allocation error.
After a few more minutes my
Windows was suspended by Parallels - which it never did before when this happened. After resume, everything was still there.
Previously I had these issues also with
audio-only, but I could resolve this with setting the
hypervisor to "Apple" in Configuration->CPU & RAM -> Extended Settings (?) -> Hypervisor.
Parallels Desktop 15 for Mac Pro Edition
Mac: MacBook Pro 16" 2019, Catalina 10.15.4
Guest: Windows 10 18363.836 x64
Hypervisor: Apple, no nested or PMU virtualization
Audio: AC97, not synced with mac, out on external monitor, input from
Cam: shared with mac
External monitor connected via USB-3 (LG 43UD73-B)
RAM: on the recommended-max value (12288MB of 16GB)