It's very nice to have my windows skinned, using WindowBlinds, to look more like mac windows....it would be a nice option to have that sort of thing integrated with parallels.
In addition, Apple does not like these skins. They file Cease & Desist complaints whenever they catch them. No way a commercial company (that operates so closely with Apple,) like Parallels could get away with it.
Apple does not like these skins on other systems. I doubt they would mind if the skin was Parallels/Mac specific. Parallels could even use the window elements provided by the Mac OS X GUI. That would be the best option. This doesn't really need to be optional, as those who prefer a Windows look and feel can always run fullscreen.