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