Problem solved.
I am now confident that the issue lies with the upgrade version of Windows 10 and Hardware ID of the system. Windows 10 Upgrade cannot be dual-activated, as is required to run it under any VM as well as "native" Boot Camp. You need a retail version - which will set you back some 275 euros...
My problem has been solved after I purchased a retail version of Windows 10 Pro.
Under "native" Boot Camp, I replaced the upgrade-related key with the retail key, using the "Change product key" button on Win10 'Settings - Update & Security - Activation'.
I then proceeded to launch "My Boot Camp" under Parallels. In Windows, I opened admin Command Prompt.
By entering "slui 4" a dialog opened to utilise the Microsoft Phone Activation, giving correct phone number via country selection. (Note this would'n work with Upgrade Win10 - the "Settings" dialog would simply hang.)
The Phone activation proceeded succesfully - and Windows 10 is now activated both under Boot Camp as well as Parallels "My Boot Camp".
See this discussion:
http://answers.microsoft.com/en-us/...e/578d0b7f-57e4-4893-b9d1-6cfac0d6290a?page=1
"Q: What happens if I change the hardware configuration of my Windows 10 device?
A: If the hardware configuration of your Windows 10 device changes significantly (e.g. motherboard change) Windows may require re-activation on the device. This is the same experience as prior versions of Windows (e.g. Windows 7 and Windows 8.1). The free upgrade offer will not apply to activation of Windows 10 in such scenarios where hardware changes reset Activation."
Especially note:
" The free upgrade offer will not apply to activation of Windows 10 in such scenarios where hardware changes reset Activation."
This is exactly what happens when Boot Camp installation of Windows is to be activated under Parallels after Boot Camp activation - or vice versa. The "hardware" - and thus the hardware ID - is changed, causing Windows to lose activation and Free Upgrade cannot be activated for two hardware configurations with different Hardware IDs.
I have submitted this information back to Parallels Support, on Ticket [Parallels #2156958]