I can get into the Boot Manager based on instructions from this page: http://kb.parallels.com/en/116526. But my display doesn't show "Mac OS X 10.xx.x Recovery" as an option. My image DOES include the "OS X Image File" drive as created when I created the VM. Help!
Host is running El Capitan - 10.11.6, VM is running Sierra 10.12. I built a previous VM using the exact same process (I thought) which does display Recovery Mode as boot option. Only difference is I modified the disk size to much larger while in the Parallels vm creation wizard.