I know that Windows data from a Mac with Intel chip can be copied into Mac with M1 chip per kb.parallels.com/125344 ("Copy personal data from an Intel-based virtual machine"). But what happens if in addition I use something like Apple's Migration Assistant to copy all my data -- does it not even see Windows VM data such as the Windows desktop (on which various programs have deposited shortcuts and even data)?
If it is "within the VM disk" the answer is no. At best the migration assistant will copy everything in the Parallels folder so you will end up with a disk you can mount in your windows VM as a SCSI drive. I don't keep anything in Windows (it is in OneDrive and iCloud) so VMs are disposable in my configuration.
The single most benefit is a one copy to many devices setup. I can have multiple windows VMs and Macs share and sync the same files. So if you end up destroying a VM for some reason or need to replace a physical device, you don't need to worry about copying data. These days most apps can be downloaded and installed from the internet, with digital licenses linked to a user id. This makes reinstalling apps easier when you do have to rebuild or replace a device.