How do I get middle click working in Parallels 9?

I cannot seem to get middle clicking to work for any virtual machine (Windows 8.1, Ubuntu 14.10, Windows 7) using Parallels 9.0.24251 under OS X 10.9.5 (Mavericks).
I've tried turning on the middle click in the Mouse Shortcuts, and have the modifiers to be a bunch of different things.
Nothing works.
There was a question back in December 2013 asking if middle clicking had suddenly broken, but there was no followup, either by the OP, other users, or Parallels Support.
Is this a known bug? Is this something fixable?
 
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