Recently I've updated Parallels Desktop and after the upgrade it's not possible to use Mission Control shortcuts as before to switch between Desktops, between macOS dedicated Desktop and a virtual machine dedicated one.
Parallels Desktop full-screen mode refactoring implemented in version 12
After full-screen mode refactoring in Parallels Desktop 12 a Parallels virtual machine in full-screen mode uses macOS full-screen mechanism, it has its own and separate space. If you use the app full screen, it appears in its own space.
That's why the previously used shortcuts to switch between Desktops are not working anymore.
For now, it's not required to have two separate Desktops, one for macOS and one for a virtual machine.
Use corresponding Mission Control shortcuts to switch between spaces.
To confirm that such behavior is native for macOS, use the full-screen mode for any macOS application, a new separate space will be created for any application which uses full-screen mode.