During installation of OS/2 Warp4, after the hardware configuration windows, the window "OS/2 Setup and Installation" are not showed. Even with acceleration disable the window is by-passed. The only way to install the programs (bonus pack, etc.) and additional features is with "Selective Install" after the installation completed.
Problem resolved! Install OS/2 using a plain virtual disk and HPFS file system. OS/2 doesn't like expansive formatted virtual disks with your only FAT16 option for file system.
Download nothing; just create one yourself! Parallels includes an Imaging Tool, so you can simply create the image yourself. If you already have an ISO image, you can simply mount it instead of using a real CD (in the Properties page for the VM).