I finally found someone who knows what they are doing via Parallels Support and they gave me these instructions. This totally fixed the issue for me!
Regarding the issue, as was mentioned by my colleagues earlier, it's currently on the review of the Development Team, and as of, yet we do not possess new input, however, we will let you know immediately once it is available.
We do have two notes to add on the subject, however:
1. The buttons appear to only affect sound level in Windows when it's at the front as a focused window. When the virtual machine is minimized or another macOS application is in the front, function keys would only affect the Mac.
2. There is a possible workaround, which however involves disabling all special key functionality in Windows via the registry key value that would essentially block the functionality in Windows and seems to stop influence of the volume keys in Windows altogether.
We cannot say for certain if this fit your scenario, since as mentioned it would disable all the special keys input service in Windows, but we can offer you to try using it, and in case it's not acceptable, revert the changes:
1. Start your virtual machine.
2. Create a Snapshot of the virtual machine before proceeding by clicking on Actions -> Take a Snapshot.
Note: This will allow to effortlessly roll back impending changes, should they introduce any undesirable effect.
3. Press "Command+R" -> In the opened window, type:
regedit
And press "Enter".
4. Registry Editor will open -> navigate to the
HKLM\SYSTEM\CurrentControlSet\Services\hidserv
Note: Click on the hidserv parent node, to locate the required value.
5. Locate the "Start" DWORD value -> Double-click it -> Change the value to 4
6. Reboot the virtual machine and check if the issue is alleviated, and if there are any ill effects that are not acceptable.
In case there are, simply roll back to the snapshot taken in step 2, by pressing "Actions" -> "Revert to snapshot".