Running Parallels 12 on El Capitan in full-screen mode. When Mac OS displays Messages notifications (upper-right corner of screen) and click the notification to switch to Messages or click the "Reply" button within the notification to type a reply, Parallels does not hand keyboard control to Mac messages -- keyboard entry is not possible on the Mac. In order to use the keyboard for the Mac, I have to return to Parallels, then select the Mac app from the dock. In other words -- it looks like Parallels 12 cannot hand control of the keyboard to the Mac through a notification. You have to switch to the app through the Dock. (Other methods may work, I haven't tried them.)
