How to get Cmd-Tab (Mapped to Alt-Tab) in a Parallels Windows VM to cycle just Windows Apps?

To disable the OS X system keyboard shortcuts while the focus is on your VM, just change the setting under Shortcuts labelled "Send OS X system shortcuts" to Always. This will send all keystrokes only to the VM when it has the focus.

This has moved again in Parallels 13. You can now find it by:

1. Clicking on the settings gear icon in the Control Center
2. Click the Hardware Tab
3. Click the Mouse & Keyboard entry
4. Select the maxOS System Shortcuts
5. Change the "Send MacOS system shortcuts" from Auto to Always
6. (if needed) Allow Parallel to control System Accessibility and enter in your password