This is expected behavior when you are booting from Boot Camp. Since Parallels changes hardware configuration on Boot Camp between real host hardware (to boot from BC without Parallels) and virtual VM hardware (to boot in Parallels), it is highly recommended not to power off virtual machine during VM boot.
Yes, I get that overlay message, but it never goes away and XP is frozen at the logon screen. After about 10-15 minutes I force quit Parallels and now I have no usable bootcamp partition. Bummer!