Cannot start virtual machine from external disk on Catalina

I have some virtual machines on an external volume (formatted as APFS Encrypted), when want to open them, I get the following message:

Unable to add the virtual machine because some of its files are read-only or the specified path does not exist. Make sure that the path is valid and you have the write permission for the virtual machine files and folder and try again. (PRL_ERR_READONLY_FILESYSTEM in the log file).

Anyone has the same issue? When I copy the virtual machine to an internal APFS Encrypted volume, everything works fine.
Parallels Desktop has Full Disk Access and my user account has read write permissions on the external volume and data.