Do I understand right that you
1) have installed ERP VPN client on mac and connect to it
2) the VM is in Shared network
3) while connected on Mac-side, Windows doesn't have access to VPN?
It is a supported scenario. If it doesn't work, please enable verbose logging in Parallels (menu of Parallels Desktop Preferences -> Advanced and enable the option "Use detailed log messages"). Try to access some VPN sites in Windows and then send a problem report (menu Help -> Send Technical Data..). Post here the report number.
Then disable detailed logging.