Would like OSX to lock when I use the windows lock ({W}+L) key sequence

I would like the OSX desktop to also lock when I used the windows lock key sequence - {W}+L

 

That is a function that OSX needs to support and has nothing to do with Parallels. The only thing I recommend is use the hot corners function of OSX and select "display sleep" as the option. Then when you move your mouse to the specified corner, your mac will turn off the screens and when woken up will ask for your password.