Windows icon doesn't show up in Dock after starting a virtual machine.
The virtual machine has incorrect permissions.
Open Terminal (Finder > Applications > Utilities > Terminal) and execute the command below:
For example: if I store my Windows 10 virtual machine in /Users/parallelsteam/Parallels/, the command is supposed to look so:
chmod -RN /Users/parallelsteam/Parallels/Windows\ 10.pvm/
You can locate the pvm file of the virtual machine following the steps from the KB 117333.