FortiClient VPN does not connect on macOS 13 Virtual Machine

Hello,
I am running 3 virtual machines inside Parallels - 2 of them with Windows 11 and one with macOS 13.
Inside the Windows machines I am able to connect to a Forticlient VPN. But when using the same settings (server name, port, username, password) it says that I cannot connect to VPN. I have tried to explore the logs, but nothing interesting that I can find there, this is maybe the most relevant log:

20221119 18:05:51 [FortiTrayEBG] vpnconnection.mm:581 Server URL: https://xxxx.xxxx.com:8443/UAT
20221119 18:05:51 [FortiTrayEBG] vpnconnection.mm:255 Request: [GET] "/remote/info"
20221119 18:05:52 [FortiTray:EROR] vpnconnection.mm:416 Error Domain=NSURLErrorDomain Code=-1200 "An SSL error has occurred and a secure connection to the server cannot be made." UserInfo={NSLocalizedRecoverySuggestion=Would you like to connect to the server anyway?, _kCFStreamErrorDomainKey=3, NSErrorPeerCertificateChainKey=(
"<cert(0x15889c000) s: FG100ETK18036099 i: support>",
"<cert(0x158948e00) s: support i: support>"
), NSErrorClientCertificateStateKey=0, NSErrorFailingURLKey=https://xxxx.xxxx.com:8443/remote/info, NSErrorFailingURLStringKey=https://xxxx.xxxx.com:8443/remote/info, NSUnderlyingError=0x6000004f56b0 {Error Domain=kCFErrorDomainCFNetwork Code=-1200 "(null)" UserInfo={_kCFStreamPropertySSLClientCertificateState=0, kCFStreamPropertySSLPeerTrust=<SecTrustRef: 0x600003b92800>, _kCFNetworkCFStreamSSLErrorOriginalValue=-9802, _kCFStreamErrorDomainKey=3, _kCFStreamErrorCodeKey=-9802, kCFStreamPropertySSLPeerCertificates=(
"<cert(0x15889c000) s: FG100ETK18036099 i: support>",
"<cert(0x158948e00) s: support i: support>"
)}}, _NSURLErrorRelatedURLSessionTaskErrorKey=(
"LocalDataTask <9E5E0E8E-E46F-47FF-A9F0-A2892C81531C>.<1>"
), _kCFStreamErrorCodeKey=-9802, _NSURLErrorFailingURLSessionTaskErrorKey=LocalDataTask <9E5E0E8E-E46F-47FF-A9F0-A2892C81531C>.<1>, NSURLErrorFailingURLPeerTrustErrorKey=<SecTrustRef: 0x600003b92800>, NSLocalizedDescription=An SSL error has occurred and a secure connection to the server cannot be made.}
20221119 18:05:52 [FortiTray:EROR] vpnconnection.mm:445 Stop on error: Can not connect to VPN server.
20221119 18:05:52 [FortiTrayEBG] vpnconnection.mm:429 Stop process.
20221119 18:05:52 [FortiTrayEBG] vpnconnection.mm:473 Cancel http. http task is running: No
20221119 18:05:52 [FortiTray:INFO] VpnManager.swift:1742 Notification: Cancel input
20221119 18:05:52 [FortiTray:INFO] sslvpn_bridge.mm:200 VPN login exception: [1] Can not connect to VPN server.
20221119 18:05:52 [FortiTray:INFO] VpnManager.swift:1571 Notification: Login network error. Can not connect to VPN server.
20221119 18:05:52 [FortiTrayEBG] VpnManager.swift:651 No reconnect for VPN "UAT". keep-running = false, reconnect-count = 0, keep-running-max-retry = 0
20221119 18:05:52 [FortiTray:INFO] VpnManager.swift:673 VPN disconnected because of error: Network error. Can not connect to VPN server.
20221119 18:05:52 [FortiTray:EROR] sslvpn_bridge.mm:616 Failed to get auth token.
20221119 18:05:52 [FortiTrayEBG] sslvpn_bridge.mm:558 VPN session wait until finished


The SSL error is normal I believe, the VPN server is using self-signed certificate. The VPN GUI also warned me about that and I clicked "Continue".

This is FortiClient 7 and all it's applications (fmon, fctl, ...) I have granted them Full Disk Access permissions.