I've found a workaround and I feel that everyone here will appreciated it (and maybe Parallels could learn from it too and finally provide a permanent fix):
It seems that if you have some window / pop-up message open which always shows on top, that suddenly sub-context menus and sub-panels appear correctly. And if you close that 'always on top' window that the problem returns.
That made me think of why shouldn't I just write a simple code to display some generic message, and to set that message to always show on top, and then I could just drag this small message window to some corner where it's less bothersome? And guess what - as a workaround it mostly works!
I'm providing the steps to writing the code below - it is basically built from a vbscript file with the generic message in it, that is set to show in a pop-up message without showing the command-prompt window at the background, and a batch file for calling and running that vbscript:
1. Open Notepad, paste in it these 2 lines of code below and save it as "Script.vbs":
Set objShell = CreateObject("WScript.Shell")
objShell.Popup ("Keep me open! I'm your coherence mode bug workaround."), 0, "Coherence Mode Temporary Fix", 64 + 4096
2. Open a new Notepad, paste in it these 2 lines of code below and save it as "Coherence_Temp_Fix.bat":
@echo off
start /min wscript.exe "Script.vbs"
* You may keep these 2 files on your Windows Desktop for quick access, or to move them somewhere else. Just make sure that they're stored in the same path for the script to work.
Now, run the "Coherence_Temp_Fix.bat" file and keep the pop-up message open - just drag it to some corner where it won't disturb you much.
As long as it remains opened, you should be able to see the sub-context menus and sub-panels showing in-front, as they should be. Please note that I found that in some minor cases, you may have to to re-click or re-right-click on the menu that you want to open until it's showing up. So it's not a permanent solution, yet it's better than nothing that we got from Parallels so far.
I really hope that it will help you guys.
And Parallels, please - spend some more effort on this topic. Really, ignoring us doesn't help your reputation.
Best regards