When I press F9 - F12 keys in Windows virtual machine, none of Windows commands are made. Pressing these buttons triggers macOS actions such as Mission Control instead.
Allow Parallels Desktop to send the shortcuts to Windows virtual machine
Find Parallels Desktop || logo on Mac menu bar > open Preferences > navigate to Shortcuts tab > set Send macOS system shortcuts option to Always.
You will be prompted to allow Parallels Desktop to have a control over accessibility features.
Click on Open System Preferences > make sure you unlocked and able to edit preferences.
Find and enable Parallels Desktop in the list of Accessibility tab.
Disable the desired shortcuts for macOS side, so they could be sent to Parallels Desktop
Click on macOS logo on Mac menu bar > open System Preferences > Keyboard > Shortcuts > find the desired shortcuts (e.g. Show Desktop or Show Dashboard on Mission Control tab) and disable them.