I've had no serious problems with Win 8 under Parallels 8. There was an upgrade pushed out today, but my setup has been stable for two weeks. It did feel quirky compared to native Win 8, until I figured out how Parallels affects and manages Win 8.
You do need to be in full screen mode to change wallpaper. Otherwise, all you see is flat gray desktop. Also, if you have multiple Win 8 machines using the same login account, Win 8 will want to share wallpaper settings.