Tested with Parallels Desktop 15 Pro Edition on macOS Catalina.
Problem 1: using Visual Studio or notepad++ or any similar multi-document application in Windows 10 on a Mac using Parallels, ⌘W (Command+W) maps to Alt+F4. This means To close just an editor page you have to revert to the original Windows shortcut of Control+F4 which is a minor pain on a Mac with the Touch Bar instead of function keys.
Solution 1: change the Parallels preferences to remap ⌘W to Ctrl+F4. ⌘Q will still close an application but ⌘W will now close an internal editor window; this is the same behaviour used in Safari to close the whole application (⌘Q) or close just one page (⌘W).
Problem 2: Control+Tab and Shift+Control+Tab don’t switch between editor windows.
Solution 2: a recent update to Parallels resulted in these shortcuts being used for Parallels tab switching. They don’t get passed on to the VM. Just unchecking these shortcuts fixes the problem.