Command+N shortcut not working as expected

Hi
Apologies if this has been asked.
I'm using Parallels Desktop 19 for Mac (Pro) to run a Windows VM.

The interchangeability of the Keyboard commands works pretty well, but one thing that keeps happening is that
On the Windows VM, I'm expecting ⌘+N to be equivalent to the Windows Ctrl+N shortcut and create a new document (for example, if I'm in MS Word on the VM, ⌘+N should create a new document).
However, ⌘+N pulls up this dialog (see 1st screenshot below).
Is there any way to prevent ⌘+N from calling up the dialog below and have to behave like the regular old Ctrl+N?

I also show some screenshots of my shortcut configuration (pics below), but I'm not sure I understand how those preferences work (e.g., I don't understand the meaning of macOS profile versus Windows profile).

Thanks for any suggestions.