As far as I have understood these topics (user a belgian-french keyboard here), this is expected (using ctrl-alt to emulate AltGr for composition of extended characters).
It all comes down to some impossibility to distinguish between the left and right modifiers. Such that Parallels can not give a different meaning to the left alt and to the right alt. For us users of extended keyboards, we would really need that : have the left Mac Alt key act as Alt in Windows and have the right Mac Alt key act as AltGr in Windows. But it looks like it isn't possible for now, so we have to use Ctrl-Alt to emulate AltGr.
Note that in RC1, with the virtual machine settings set to OS Type == Windows there was another bug: the Alt key alone was mapped to AltGr. That's why you found it easier to compose extended characters. But you had NO Alt key anymore, so couldn't access menus for instance, things like pressing Alt-E to get to Edit menu in some application for instance. This had to be fixed, and they fixed it in RC2.