I ran in to that same issue after initial installation of Kali 2022.1 arm (MBP M1) on Parallels 16. All though I was able to get passed the headers error by following these instructions (method 1 worked for me): https://hackersgrid.com/2022/01/install-linux-headers-kali-2022.html). Thereafter I got the problem of a unsupported version of an unsupported Xorg version.
> sudo cp -r /media/cdrom0/* /tmp/parallel_tools
> cd /tmp/parallel_tools/installer
> sudo ./install-cli.sh -i --verbose
Started installation of Parallels Guest Tools version '220.127.116.11703'
Error: Xorg version 1.21 not supported