I cannont install Parallels Tools from Parallels Desktop 10.2.0 on Kali Sana. I got the next error:
Error: could not build kernel modules
Error: failed to install kernel modules
Does Parallels Tools support Kali Sana with kernel 4.0?
If headers are missing, then we can't support this scenario. Headers are required for Parallels Tools compiling. I'd suggest to downgrade/uograde kernel to version for which headers are available or try to find solution on the web. This is a Kali issue and has nothing to do with Parallels.