Unfortunately I can't help you because I have the same problem. I am struggling with this of over a year now. Nobody seems to be able to solve this. I once thought I found a solution on some other forum. I will quote it below. This post mentions a link at the parallels site, but this resource doesn't exist anymore.
=== start quote
This will work
- download the configuration file from
http://download.parallels.com/stuff/keyboard_config (right click - download linked
file)
- save it to /Library/Parallels folder;
- open your Terminal application;
- change the current directory to /Library/Parallels. To do it, issue the following
command:
cd /Library/Parallels;
- rename the file to '.keyboard_config':
sudo mv keyboard_config .keyboard_config
- change file permissions:
sudo chmod a+rw /Library/Parallels/.keyboard_config
- run Parallels Desktop.
=== end quote
I really would love to find this config file.