Here's what worked perfectly for me:
1. I went to ~/Applications (Parallels)/ and at the folder Windows 11 Applications and manually deleted the shortcuts I didn't want, keeping only the ones I actually use.
2. Then, in Terminal, I ran the following command: chmod 555 ~/Applications\ \(Parallels\)
This removes write permissions for everyone but keeps read permissions.
Parallels integration continues to work normally, but it can no longer recreate the deleted shortcuts the next time you launch your VM.
The only thing is:
If you ever install a new Windows app and want it to appear again, restore write access temporarily with: chmod 755 ~/Applications\ \(Parallels\)
Then restart your Windows VM, delete any shortcuts you don't want again, and finally reapply: chmod 555 ~/Applications\ \(Parallels\)
Note: Don't remove read permissions -- that will break Parallels integration until you restore the permissions. You only need to remove write access so the shortcuts can't be regenerated.