I cannot use Cmd + Tab to navigate to the Windows VM, I can use it to navigate out of the windows VM. However, this is only when you want to select the VM itself. If you open up an app in the Windows VM and navigate to the app, then it works.
I am having the same issue. Cmd + Tab seems to cycle through everything, not just Mac apps and the VM, and in Windows XP Alt+Tab which should cycle through windows apps doesn't really work properly either. It will cycle, but if you move to a windows app other than the one you selected with Cmd + Tab you need to Cmd+Tab again to select the instance of the windows app. Really cumbersome. Anyone else have this problem? Parallels 9, Mavericks and WindowsXP