Yes, ControllerMate did -- past tense. And it was able to because it worked at a very low level, via Kernel Extensions. Apple shot that particular horse, ControllerMate fell off it, while KM continues to trot on despite Apple removing the stirrups and reins.
And I think we've done that particular metaphor to death 
The take home is that you really can't blame KM's programming for it not being able to do something which Apple has stopped programmers doing! So let's move on to more constructive things...
I spend all day dealing with people who call the Command key the Alt key, the Option key the Alt key, the Control key the Command key... There is no Alt key on a Mac, so posting the macro would at least remove that possible confusion. Plus, people smarter than me might spot something in the Action's options.
Providing the macro, your Mac OS version, KM version, Parallels version, Windows version, the Windows app(s) you're trying to control -- all these help people to help you. And isn't that why you asked your question in the first place?
And in the spirit of helping...
Once you go into Coherence mode, windows in a Windows app are treated like windows in a Mac app -- try using "Command-~" instead of "Alt-Tab"