I think it'd be neat to support a headless mode where the session runs completely in the background. This way one could run a MS Windows session in your little Mac mini connected to the TV and access it from your iBook via Remote Desktop. Another wish is to be able to lauch a session by clicking on the .pvs file. Much more convenient to have properly labeled "Windows XP" or "Linux" shortcuts rather than having to open the program and pick the configuration every time. This would also solve the issue of having the anonymous "Parallels" name and icon in the dock (it should inherit name and icon from the .pvs file).
I fail to see this as an improvement, but rather a Mac only extension that has no use to 95% of the computing world. I'm really sorry that you have to make 2 clicks on your mouse to get something done, but when you move into the rest of the world of computing, you must be ready to learn how the rest of the world works. Just wait until you use windoze! If you want your operating system to be able to understand file extensions, that is up to your OS provider or yourself - that's how the rest of us do it. The world of proprietary only software can do magical things, but it can also only do the things it can until you can convince your proprietary owner to do something else.
Opening the associated program by clicking on the document is pretty much how "the rest of the world works" (in the last 20 years at least). I hardly see it as a Mac-only extension. In Windows you can create shortcuts to folder, documents, file servers, web pages, remote desktop connections, torrents, you name it. I think it'd be convenient to be able to do the same for your virtual machine and it'd be a simple solution to the current problem of not being able tell two virtual machines apart when you press Alt-Tab.
Funny thing is, in terms of opening the .pvs it works how you want under XP and Linux... Which in my mind just means you need to associate the .pvs file with the parallels executable. While I don't have a intel mac yet, I have a G4 and a G3 iBook so am familiar with the drill. I'm assuming when you try it OS X comes up with "The Finder cannot find the needed application" ? If so, does the 'choose application' dialog list parallels as a option? If not, navigate to it and try selecting it. You may have to tick the 'all applications' box. You associate the .pvs with the application, it should fly. This should just be a case of a file association, in which case it shouldn't be a big deal for Parallels to work in a check for that on the first time run.
We have such fuctionality (*.pvs association) for Windows and Linux version and we are planning to have it for Mac OS X version as well.