I just got Parallels (1970) installed yesterday on my Macbook. My main reason for using Parallels is to use the PICKit 2 for PIC micro development. (Yea there are at least two of us!)
Like you, in 1970 I get the "device in use, wait 5-10" message. So far I haven't been able to get windows to recognize the PICkit. However it does show up in the Devices/USB menu list.
Have you had any success since August when you posted this message? Have you tried it under Bootcamp?