Windows requires activation. Simple as that. This problem most frequently crops up if you use a Boot Camp partition as the basis for a Parallels VM - and it's an annoying side effect of the way Windows activation works. It's not caused by Parallels.
For the record, I don't find this to be required with parallels 7 (which I use everyday with an imported bootcamp partition). I did have to initially activate W7 on both the bootcamp partition and again in Parallels, but that was it.