I've been having this problem since the latest 9.0 update on my Win7 x64 running on top of 10.8 (Mountain Lion).
I am on Parallels 9 (both latest and one but) and this this error on prl_cc.exe ONLY when I am running in coherence mode. When I am in either Full Screen or normal windowed mode this isn't a problem shutdown as normal. As soon as I put it into Coherence Mode and then try to shut down I get this error.
Am trying to set it up simply for my wife so she can occasionally run MS Project and MS Visio (which are only Windows platform), with everything else being Mac only apps, so I want it to be as transparent as possible, and not feel like she is running two machines.
Hope there is an answer to this.