Hi.
I've been having similar problems with AutoCAD in Parallels. The mouse moves fine as an arrow in the Windows screen, but as soon as it's cross hairs in AutoCAD it becomes a bit sluggish; often a delay between moving the mouse and the crosshairs moving. It then takes forever to construct a drawing because you never seem able to pick points on the drawing easily!
However, i have been using my partner's iMac to use AutoCAd as the bigger screen is better to work with. Parallels is set to 'coherence view' where you have your OS X screen with the windows taskbar above the dock. When i have used AutoCAD in when Parallels is in Coherence, it works perfectly. As soon as i turn Parallels to 'full screen', the crosshairs slow down again.
THis might not be a perfect solution, as it's better to use AutoCAD in full-screen mode, but if this is the only way to get responsive crosshairs then that's the way it is.
Hope this helps.