In Parallels 11, you need to uncheck Use OSX Full screen option under Actions>Configure..>Full Screen>Options
I have use all displays in full screen checked too
Then maybe get a VGA adaptor, as I didn't have HDMI on mine, but if it's not set at 800x600 pixels in the Apple Display Preferences it won't work anyway.

You also have to do this in Windows, using the List All Modes options and select 800x600, & ignore the warnings.

Good luck
Mike