I've contacted Parallels Support about this issue. The issue is linked to using a virtual Mac OS X machine on a USB 3.0 external hard drive, there are known issues with going to sleep using this scenario, according to Parallels Support.
Cause & Solution: The issue is related to the VM Mac OS X system being on an NTFS formatted partition. The .pvm file, although having read / write access using an NTFS driver, does not work on the NTFS partition.
After formatting the drive to exFat, I have no issues putting my Mac OS X VM into standby.
Perhaps this solution can help someone too.
Background: I have had no issues with VMs being on an external HD with Mac using Parallels Desktop with an NTFS drive and putting them into stand-by but the Mac OS X VM file here does not work with this configuration.
Last edited: May 11, 2016