This should be relatively easy to implement in parallels and its a small issue which none the less can cause some annoyance when using parallels in coherence mode. The issue: Two windows next to one-another - one XP one OS X. Both appear to be active from their rendering and both have an active cursor blinking. Which one will respond to keypresses? To check that you need to look up in the upper left corner to check if parallels is the OS X app with focus or not. Solution: When the parallels application detects that its just lost focus - it should, via the parallels tools, direct focus in XP to a dummy parallels app and thus removing focus from the last active XP window including any active text areas.
Yes - this is one of the most annoying things that happens to me in Coherence mode...not knowing which app is the active one