Hey Fred,
Have you discovered any workaround for this? For my work, I need to have my Mac OSX host connected to the Cisco VPN, and I need my Windows XP guest to be have regular (non-VPN) internet access. Unfortunately, I cannot get this to work using either host-only or bridged networking.
Are you just living with it, as I am? I really hope to get this solved; unfortunately, I don't think there is much that Parallels can do, as this problem seems to be related to Cisco VPN and OSX, regardless of whether Parallels is involved.