I am having the same issue on my Win 10 virtual machine. I've changed the mouse/keyboard settings to not optimize for games, I've shut down and restarted the VM and Parallels Desktop. The mouse works fine on my Win 7 VM. When I click on the Win 10 desktop, the mouse disappears and I see the message "CTRL + ALT to free cursor." The clicks don't work and the mouse is gone. I click CTRL + ALT and the mouse reappears. Clicks don't take effect and type input isn't accepted.