By default, when you switch Windows to Full Screen, Windows is set to operate in the OS X native Full Screen mode.
If you do not want the menu bar and Dock to appear: To prevent the Dock or the Mac OS X menu bar from appearing when you move the mouse pointer to the top/bottom of the screen:
Open virtual machine configuration.
Switch to Options tab > Full Screen.
For Parallels Desktop 12 and above make sure that Optimize full screen for games option is checked.
For Parallels Desktop 10 or 11 disable the Use OS X Full Screen option.
Once you have completed the above, Windows will work in Full Screen designed by Parallels and the OS X menu bar or Dock won't appear.