Cannot convert a third-party virtual machine because it is either running, suspended or hibernated

Symptoms

I am trying to convert a third-party virtual machine (VM) but I get one of the following error messages:

"This virtual machine cannot be converted to the Parallels format because it is running."

"This virtual machine cannot be converted to the Parallels format because it is suspended."

"This virtual machine cannot be converted to the Parallels format because it is hibernated."

Cause

Source virtual machine cannot be converted when it is running, suspended or hibernated.

Resolution

1. Use the original virtualization product to shutdown the virtual machine properly.
2. Proceed with the VM conversion.