I have the same problem I think. I get everything up an running using Parallels 10 and the latest Kali 1.1 with:
cd /media/cdrom0
cp -r install installer/ kmods/ tools/ version /tmp
cd /tmp
./install
but then when it is about to finish it tells me: "An error occurred when downloading required components for Parallels Tools installation
- kernel sources
Install these components and try again"
I have spent hours upgrading from 1.0.6 up until 1.1 and still no luck. This is very aggravating as I have purchased and upgraded Parallels mainly to use Kali.