That's incorrect, and fortunately you do have plenty of options that allow you to switch to your other desktops.
By default, Command + <desktop number> will change desktop even with Windows VM on full screen (have you tried it?), Parallels is smart enough to distinguish between just Command and Command + something. And 'by default' I mean if you haven't changed the default keyboard shortcuts in Parallels preferences.
Speaking of Keyboard preferences in Parallels, I invite you to look at those.
You can use the 'Fn' to switch between how F keys are interpreted. Try Fn+F9, by default that also gives you Mission Control (you can control the key or key combination for MC in the Keyboard pane of System Preferences in OS X).
Lastly, if you move your mouse pointer to the top of the screen and wait one second the OS X top menu appears even while running the VM in full screen.
Last edited: Sep 13, 2014