Actually, your Mac Pro Parallels host could get infected via a VM. All it would take is for the VM to pass along a Mac virus through folder sharing (if enabled) or through a vulnerability in the VM->host isolation. I haven't heard of any malware that does that, but it's only because nobody is trying hard enough (we hope!).
The Windows VM's are as vulnerable as physical machines. Unless a VM is completely isolated - not on a network with other machines/VM's, and not connected to the internet - it pays to run anti-virus software in it.
