Although other CMD-<key> combinations work out of the box, bizarrely CMD-W, CMD-Q and CMD-, (an important shortcut in Lion guest for preferences!!) do not make it through to the guest without unintuitive finagling. However, they do now work by remapping those keys to themselves in the 'Parallels Desktop > Preferences > Keyboard > Virtual Machine Shortcuts'. Weird, and possibly because no one tested with Dvorak keymapping in the Host OS, but at least it works when you know how!
