I think this is Lion's default setting that appears when an App is in full-screen mode, but because the full-screen button (used to disable the Parallels 7 from full-screen mode) is positioned on the upper right corner of the screen, I frequently click it when I try to close a windows application (because the "X" button to close windows application is also on the upper right corner). So, it might be useful if you could change the floating menu as before (Parallels 6) or have a mode to disable the floating menu that would be much convenient.
I too click on the full screen button when closing a Windows application and it is becoming very annoying. Another solution might be to delay showing the floating menu a bit longer.
Simple, but not perfect fix In the configuration, we could set the "full screen exit" mode by moving the mouse to a corner of the screen. However, that make the entire menu bar un-reachable from the full screen mode.
Parallels Desktop 7 build 14922 fixes this by having a Full Screen option that allows you to use the old Parallels method instead of the new Lion method for handling Full Screen.
