Pitching in on 'what worked for me'.
1. VM > Eject CD (although in most cases it doesn't do anything at all... then go to next step)
2. Devices > CD/DVD-ROM 1 > Connect Image... > (connect a disk image... I use vmtools.iso)
3. Make sure the contents of the disk image, not the disc, appears in Explorer
4. Eject the disc from Finder or Desktop (i.e. eject the disc the OS X way)
If you skip step 3, the icon will disappear when you do step 4 but the actual disc may not come out of the drive. This happens when the VM is still using the contents of the disc despite replacing it with a disk image, therefore making the disc 'in use' and preventing proper physical ejection.
Evidently, I think PW's handling of physical disc is still a problem and needs to be fixed before hitting GA. Otherwise Parallels will have a mountain of complaints flooding in. The 'Eject CD' menu isn't quite working as intended because it's not properly 'disconnecting' the disc from the VM. Same with the Eject menu in Explorer in Windows inside the VM.
I'm fairly confident that this can be fixed, though, given how many strides the betas have made in just a week since the first public beta.