I strongly suspect this is a DirectX issue. Last I checked, Parallels does DX9.0 (but not 9.0c).
I've run into this same problem, though it took me a little while to diagnose it. Since I knew that P4.0 didn't do dx9c I haven't been trying any of my more recent games on it, and been using bootcamp instead.
Tonight, on a whim, I tried running "Lord of the Rings Online" inside my bootcamp run via Parallels 4.0 (as opposed to rebooting it). Much to my surprise, it ran. However, I couldn't use shift, control, or alt, in the game (the game controls require holding the keys down for some commandbars to show). When I released the key, I'd see the associated bar appear then disappear. Until I saw this post on a random thread, I had no idea what was happening, only that the game was unplayable.
Since I was using the same partition, only varying access from rebooting into BootCamp to running Parallels 4 to bring up my bootcamp partition, it more or less has to come down to drivers. And, again, I'm nearly certain it's going to be DX9 vs. DX9.0c support (I'd assume the DirectInput part of the suite, not DirectDraw or the graphics parts).
Hopefully this'll help... and hopefully we'll see a DX9.0c compliant Parallels soon... since we'll be shuffled onto Windows 7 and DX11 soon enough. :/
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Paul