If Windows is running when you shut down, then obviously it will be slower, since Windows must shut down too. If it is NOT running, then any slowdown should not be noticeable - although Parallels installs a few drivers to make it work, these kernel extensions don't take long to load/unload themselves.
I noticed a slow shutdown even when I am not running Parallel 5. I uninstalled it and my shutdown get back to normal, which is pretty fast, about 5 seconds.