Well, to be fair the numeric keypad does work in Parallels, but it takes a little knowledge. What I found out is that when I run Windows XP in Parallels it looks to see if the num-lock is turned on or off. Just like a regular PC running Windows, the numeric keypad moves the cursor instead of typing numbers if the num-lock is off.
I guess the Mac OSX doesn't really have a concept of num-locks (at least when using the Apple keyboard). So, Parallels changed the clear key (near top left of numeric keypad) to be the num-lock toggle key. All you have to do is hit the clear key while in Windows XP (under Parallels) and you can toggle your num-lock.
Not very intuitive, but hey, what do you expect when you mix Mac and Windows together. ;)