My host Mac is a MBP 16" 10.15.6 running Parallels 16. When I set up a VM with 10.15.6 or 10.14.6, the menu bar and menus are whiter than normal and the dock has a solid gray background. Why?
Yep, that's precisely it. No graphics acceleration = no Dock transparency. Furthermore, there is not any VM software currently in existence which offers graphics acceleration for macOS guests. You can't do it.
The one semi-exception is, you can theoretically set up either KVM or ESXI to use GPU passthrough for Mac VMs, where you give the guest OS a real graphics card to use for acceleration (this real graphics card then can't be used by the host OS). This is not an easy or cheap thing to set up, and you're likely better off with a secondary computer.