Mouse Lag in Parallels Desktop 9 when VM is controlled via Remote Desktop on Host

I have a Mac OS X VM running on a Mac Mini. While running the VM I noticed EXTREMELY bad mouse lag. But in some cases, the lag does not appear. Here are the two configurations I've used:

1. Running locally, mouse/keyboard/monitor direct to Parallels window
Everything is ridiculously fast.

2. VNC connection to Mac Mini, with virtual machine window displayed in the Remote Desktop window
In this mode, graphics in the VM are drawn to the screen nearly instantaneously. However, the mouse pointer lags behind the mouse by anywhere from 5-20 seconds. It's almost unusable.

3. VNC connection directly to the server inside the virtual machine
In this mode, mouse movement is smooth. Graphics are fast as it's on a local network. If I run a remote connection, it's a bit slow due to bandwidth, but it's usable.

What would cause this mouse lag, and is there a way to solve it? When using the remote desktop connection to the server, the mouse movement is normally smooth, but somehow when Parallels grabs the mouse when it's being controlled via Remote Desktop, it develops absurd lag.