This just started happening last week, for some reason I can no longer hide the Windows toolbar when in Coherence mode. I mean I can go into Windows and hide toolbar, but there's still a blue line along the bottom of the screen. Before when I was in the Mac Finder the Windows toolbar would disappear until I switched to Parallels specifically. I haven't made any changes, it just quit working for some reason. When I go to "View" in Parallels the option to "Hide Toolbar" it's greyed out??? I tried to put in a support ticket, and apparently my version is to "too old" to get support, they just dropped it. So now what? Parallels Desktop Ver 4 Windows XP
This also started happening to me yesterday (1/25/11) under Mac OS X 10.6.8 with Parallels Desktop 6. When I switch to Coherence, a couple of seconds later the Windows (XP Pro) task bar pops up.
I have Mac 0SX 10.7.2 but I have found that Coherence is very dependent on the screen resolution. I had problems very similar and when I checked my screen resolution with in configuration of Parallels it was set to 1200 X 666. I corrected the resolution to a normal setting and it fixed the issue.