There are several ways to find your virtual machine on Mac.

In Parallels Desktop

Virtual machine can be located in Finder via Parallels Desktop Control Center.

• Click on the Parallels Desktop    logo on Mac menu bar > select Control Center.
• Right click on the Parallels Desktop application icon in the dock > select Control Center.

In the Control Center right click on a virtual machine you'd like to find and select Show in Finder.

In macOS Spotlight Search

By default Spotlight Seach indexes all the files on your Mac including virtual machine bundles.

Find its icon    in the right top corner to begin with.

Type in pvm (Parallels virtual machine) or just the machine's name.

In Finder

By default all virtual machines are stored in one of the following folders on the computer:

/<username>/Parallels

/Users/<username>/Parallels

/Users/Shared/Parallels

Use Finder's search engine to locate your virtual machine.

Type .pvm or the machine's name in the search field.

In Parallels Desktop Lite

Parallels Desktop Lite is a sandboxed application and by default the application has no access to user's folders (except "Downloads" if granted). Virtual machines are saved in the following directory when installed automatically:

/Users/<username>/Library/Group Containers/4С6364ACTX.com.parallels.desktop.appstore/Shared/Parallels/

Note: virtual machines from 'Free Systems' category are saved to "Downloads" directory.

To open this directory in Finder, click on Go menu (when Finder is active) > select "Go to Folder..." :

Then enter the following path to the field and click "Go":

~/Library/Group Containers/4C6364ACXT.com.parallels.desktop.appstore/Shared/Parallels

Finder will open a window with the list of your virtual machines.