Since Apple keyboards do not have a Num Lock key or a Num Lock light, it is hard to tell if the Num Lock function is currently enabled in the virtual machine. Parallels Desktop for Mac should provide a Num Lock indicator in the status bar of the virtual machine window.
My MacPro doesn't have a way that I can find to send the NUM LOCK key stroke - it kills me when I'm using Excel in Windows (because Excel for the Mac is still pathetic). It would be great if Num Lock could be added to the "Send Keys" menu, and then put an indicator down next to the device status indicators (disk, USB, CD, etc.) in the lower right corner.