MIDI is MIDI -- it is the interface that is different
I have Windows and Cakewalk on the VM and Garage Band of course with OS X. The USB MIDI interface doesn't work for recording in Garage Band and the one which works with Garage Band, M-Audio, isn't recognized as an input controller in Cakewalk.
I can share MIDI files between the two systems via the Shared Folder. If you haven't set that up, the instructions are really clear as to how to do it in the Parallels help files.