I had three VM control windows open (using the Open menu), but none of them was running (all were in stopped state). When I selected Quit from the Parallels Desktop menu, it did not quit the application, but, rather, closed the topmost window. The same thing when Quit was clicked again. Finally, when there was only one window open, Quit actually quit the application. This is clearly incorrect behavior and is reproduceable. Definitely a bug.
In Parallels, every new VM is a new instance of the Application. For that reason, you have to "Quit" each VM to close all windows of Parallels. This is why each new Parallels VM has its own icon in the Dock, while every new word document you open remains in the same single word icon. This has been the behavior of Parallels since the first beta release. It is not a bug, though it may be a dubious interface choice.
