How can I just download the dmg file of macos sierra and not install it?

This is the default error that the OS gives when you are trying to download an older OS than what your Mac is running,

the App Store and your OS do not know the you only want to download it, it just presumes that you want to install it.

One way round it is to download it on a Mac with an OS older than Sierra and use your AppleID to download it.

Something to try: While that too-old window is still open, looked around for the installer using Finder and Spotlight?

Failing that, boot Recovery, install an old release onto a scratch device, boot that, and download Sierra there.

Or restore a Sierra backup onto a scratch device, and migrate and use that.

See if the following link can help: How to upgrade to macOS Sierra - Apple Support

FWIW, I just tried it an it opened the Apple App Store and offered to let me download it. However, be aware, that I had downloaded it from the Apple Store earlier when I "purchased" it originally when I upgraded to Sierra from El Capitan ... so this may not work for you either. From a lessons learned, I kept copies of each OS installer BEFORE running them so I could do exactly what you are trying to do, and that is to use them with Parallels.

Are you sure that you want to even be running Sierra (as a guest, or otherwise) here? Trying to keep old software going gets increasingly hassling, as both the app and the OS age out.

If you’re willing to accept the ‘fun” that will arise here, then have backups of everything, as a mistake or a corruption or a bug here is Bad News.

You’ll here be using Disk Utility to prepare some storage for the Sierra installation. Either external storage being presented through to the guest, or some part of the internal storage being presented through to the guest from within Parallels. In most virtual machines, this is either some sort of device passthrough for the external (scratch) storage, or it’s an ordinary (big) file created in the host macOS environment via Parallels, and this (big) file contains the entire file system and contents of a simulated volume storage device within the virtual machine. However this storage is allocated within Parallels, erase, format as GPT/GUID partitioning and an HFS+ file system using Disk Utility, then install Safari onto it.

I’ve recently been using VirtualBox for Linux guests, and am not familiar with current Parallels and its UI. All virtual machines are similar here, but there are some differences in details and syntax and terminology.

Connect an external drive formatted for Mac and load the OS to that.

Once done you boot from there leaving your existing OS in tact.

Al