A file or device required for the operation of Sound 1 does not exist or is used by another process, or you have no permission to access it. The virtual machine will continue running, but the device will be disconnected.
I encounter this error using OSX version 10.8.2 running Parallels Desktop 8 For Mac (Build 8.0.18345 Revisiopn 820589, November 25, 2012) runing a MacBook Pro using a Thunderbolt Display.
The Thunderbolt Display Sound does not function when Parallels Deskop is running
MacBook Pro with Retina display, OS X Mountain Lion (10.8.2)