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Patience is a virtue. After using the "Remove" option again and then a cold restart of the Mac the download has gone away. Problem solved.
PS: I found the right click menu that includes a "Remove" option. This temporarily removes the download but as soon as I start Parallels again...
I have started downloading Ubuntu from within the "New Virtual Machine" window but now I don't wish to continue. However, I see no way to stop...
