That's what every other app does when the red Close button is pressed. Parallels should honor that convention. Instead it prompts to shutdown or hibernate.... Second - it'd be very nice if you enabled a key combo to move to fullscreen. I currently have to use the mouse and click the correct button to do that (which is right below the restart button also....). I can exit fullscreen with a key combo - it'd be nice to be able to go into it with one as well. VMWare allows this...
Actually, that isn't what every other app does. Some (such as System Preferences and Toast to mention an OS intrinsic and a third party app) shut down on a red dot click, while others just close the window. The way Parallels works now is fine with me, and makes sense.