I am experiencing this same issue, and have been unable to resolve it. Attempting to upgrade from 4.0.3540 to 4.0.3810. I have shut down the virtual machine and have quit Parallels, but I continue to get the "Conflicting virtual machines: Microsoft Windows Vista" message upon attempting to install the update.
In addition to shutting down the virtual machine (not stopping/suspending), I have verified that no files in the virtual machine folder contain .mem or .sav files:
> cd ~/Documents/Parallels/Microsoft\ Windows\ Vista.pvm/
> ls -1a
.
..
.Microsoft Windows Vista.pvs.lock
Snapshots.xml
Windows Applications
Windows Disks
config.pvs
config.pvs.backup
parallels.log
unattended.fdd
winvista.hdd
Also, I have removed the .parallels-vm-directory from ~/Documents:
> cd ~/Documents
> rm -rf .parallels-vm-directory/
The issue persists, and I am unable to complete the upgrade.