No, it didn't appear again. It appeared to me to have something to do with the process of allowing the parallels windows manager to control the windows. I was using Chrome in Fullscreen when the popup appeared like "Do you already know parallels windows manager? ..." I clicked on it and on top of the fullscreen chrome browser window the dialog opened to allow windows manager. As I said, I clicked allow and in this very moment the corresponding system settings window should pop up but it didn't. The whole system just froze.
First thing I tried was to click on allow again, then click on the browser window, but the clicks weren't forwarded to the application. Then I tried switching to the desktop screen, at first nothing happed, after a few tries it switched. I had the system settings open since a few hours doing a Time Machine backup. I clicked on some windows which made them selected, visible by the shadow effect. No app corresponded to clicks. So I tried if important shortcuts work. At first the buttons to change the screen brightness, I pressed and nothing happened but after like 30 seconds these buttons worked again. Strange. Shortcut for sleep and restart did not work. I pressed physical shutdown button once, which brought up the shutdown dialog, which I could not click but some app with unsaved work asked to save the work but as I could not click anything, the mac did not shutdown because of this app. The I pressed shutdown btn until it crashed. Oh, and I think it was after I clicked on the allow button, on desktop opened the Parallels Desktop Update dialog, saying a new version is available (17.X -> 17.Y).
Looked to me like window manager was interfering with the windows like it had a hook installed which filters the user input to windows but did not forward clicks or so. Maybe this detailed error report helps. Thanks.