Hi,
Parallels (and VMWare Fusion, too) have only support for DirectX 8.1 with experimental (limited) support for DirectX 9.
Since almost all newer games rely on at least DX9 and DX10, if the hardware supports it, these games simply won't run in Parallels/Fusion.
Nonetheless Parallels/Fusion are great applications for running Windows alongside OSX, but they are not very suitable for gaming in Windows.
Stefan