OK -- it is doing it again. I just started up Parallels, and it resumed operation in Coherence mode. Right clicking on the Parallels icon in the menu bar does not do anything.
You ask "Does it show up if you left-click > Windows Start Menu ?" but where is it I should left click? I don't understand.
The one place I can click is the Parallels icon in the dock -- if I left click that, I see the start menu. Ironically though, there is no white dot next to that icon. Usually if an app is running you see a white dot next to the icon.