I was in the same boat very frustrated but finally got it working as I expected to (...which I have to imagine is how some others here would, too). I enabled "Displays have separate spaces" on OSX, restarted, and then in Parallels set my full screen preference for my Windows 10 guest to "Use all displays in full screen" and "Activating virtual machine shows all its spaces". Be sure to do this with the guest OS shut down. Windows now shares one desktop across both displays. The only slight change from PD11 behavior is that when I Cmd-Tab into Windows 10 from a OSX app, I have to click somewhere in the window to bring up the other display. Not really a big deal.