Yeah, working with VM requires some unconventional practices. I found that Parallels often tries to capture and "translate" keys, and that adds delays and changes the sequence (down and release), which is sometimes hard to troubleshoot, and in this case, how you trigger your KM macro influences how it is executed in Parallels.
That's one of the reasons I try to disable most, if not all, Parallels shortcuts and implement my own in Keyboard Maestro or Karabiner Elements.
Extra tip: PRESSED → RELEASED:
Try changing your macro shortcut key
from "[...] is PRESSED" to "[...] is RELEASED"