You probably want to check this thread out: http://forum.parallels.com/showthread.php?267666-How-to-disable-window-shadows-in-PDfM-8-Coherence-mode
There I share my experience with it and results of contacting Parallels support.
Quick answer: such behavior is a documented bug in PD, it's not clear when it'll be fixed. It works better in PD9, than in PD8.
Suggestion: post a bug report to Parallels, it'll probably raise priority for a fix.