@leroydouglas thank you for your response.
The host system is a macOS Tahoe 26.2 running on a M1; on that environment I am currently logged in; I am getting the situation on a VM on that host running the OS version.
Thanks for the link, I have reviewed on the host system where am I logged in, and the weird thing is that the VM appear as a device which is logged in; this could be from a snapshot that I was logged in a few weeks ago, but I restored to a previous snapshot where I was not logged in. I have tried to remove the current device related with the VM and try to login again, but the same scenario. Nothing changed.
I have not reached out Parallels Desktop Support, because I was logged in the account in the past (from the VM), so I didn't think it could be related with Paralleld Desktop. And I had the situation in the past even from the host system (not the VM). Currently the VM is using the shared connection; I can browse Internet with Safari from the VM and logged in this community support and iCloud with no issues from the browser (using 2FA), but not from the settings of the system, nor from the Apple Store application in macos. Currently I don't have more apple devices that I could use to check this account.
How could I retrieve more information from the logs about the login process??