No, the Keyboard Input Monitoring is a new security feature in macOS Catalina. With standard configuration it blocks the input monitoring for any app, including parallels. This results in the case, that all programs, who need to monitor keyboard inputs does not work anymore. Except you are using a 2th usb keyboard and plug it in directly in the VM, than macOS has no access to it and will not block the monitoring.
To fix this issue, parallels have to ask for an exception to use the keyboard monitoring (like its already done e.g. for full file access).