On virtual machine creation, Parallels Desktop offers several operating systems which can be downloaded from the internet.
These pre-defined virtual machines are called virtual appliances.
Most likely, your Mac internet connection goes through the proxy server with authorization.
That's why it declines virtual appliances download.
Please use the direct internet connection on your Mac (disable proxy).
For proxy settings:
Please contact you system administrator for assistance.
Disable proxy in System Preferences > Network > Active connection > Advanced > Proxy.