The short answer to your question is.. no, the VM does not offer protection to your company, and, yes, it can infect your Windows environment!
You'll probably need to install some sort of VIrus/network protection software if you intend to use a VM for work.. both on MacOS and on your Windows VM. Viruses/Malware can easily infect, not transfered from, MacOS to Windows through the Parallels interface since Parallels let's you access/use MacOS files directly from your Windows VM.. especially M/S Office files. Parallels/Windows VM is not necessarily a Boot Camp implementation with separate partitions. This is a Parallels "benefit"!
(If you ran the recent Adobe Flash deinstaller from Apple then maybe that vulnerability is OBE.)
Please post if you're allowed to install your VPN client on the Parallels/Windows VM.. I'd like to do it too but havent tried it.