I find that very often Parallels is "slow" and doesn't convert Cmd-C into a Control-C. It does this for similar keypress mappings too, like Cmd-V, Cmd-X, etc. I'll press Cmd-C and I wind up typing a C in Windows. I have to let go of the Cmd key, then press it again, then hit C (or X or V or whatever). It's like Parallels is slow and doesn't catch the Cmd the first time.