Let me clarify.
Let's assume the virtual machine is already running. To shut down the virtual machine, I will click the "power" button in the lower-lefthand corner and then click suspend. Once the VM is suspended (you will see it countdown, just like you do when you are starting the VM) I then quit Parallels if I'm done using it (Command+Q or select Quit from the Parallels menu). To resume using the VM, I start Parallels and then click on the VM window where it says "click to resume" or something similar. There may be a way to automatically start a suspended and/or shut down VM once you start Parallels, but I haven't explored that possibility. I have never left the VM running when I shutdown my MBP or put it to sleep, so I do not know how Parallels handles that.
As for why you would suspend the VM, I think it's mainly done for speedy startup and shutdown of the VM. Suspending the VM avoids having to go through the VM boot-up and/or shutdown procedures and is therefore very quick. I just tested this on my i7 iMac and it took 8 seconds to resume a suspended Windows 7 Professional 64-bit VM and it took 6 seconds to suspend the running VM. Contrast that with 15 seconds to shutdown the same running VM and then 39 seconds to start it up after being shutdown. Though there may be other (perhaps better) reasons to suspend the VM versus shutting it down, I do it only because of the significantly less time it takes to suspend and then resume the VM. The times are even more drastically different on my MBP which is obviously at a disadvantage to my quad-core iMac.
