Archy's suggestion seemed to work for me. I had the same issue of the tools Setup running everytime I started up the VM. It would even run if I resumed the VM from a previous suspension.
Thanks.
I would add that I have seen this happen in RDC for months if not years. Copy from RDC, paste into Mac app, RDC hangs. I'm not sure why Parallels would be effected, but I kind of doubt it's a Parallels specific issue. I think it's an RDC issue.