Everytime I click on a link from within Mac, parallels boots up my Windows VM and opens the link there. That's super annoying and I haven't found a configuration to change it.
In the settings of my Windows VM there is an option where to launch the webbrowser. However that seems to only affect links that I open from within my Windows session.
I just stumbled across this answer:
So I disabled "share windows apps with mac" completely. Also this seems to be overly protective it at least does the trick. I think it also deactivates that running windows apps show up in the dock but I don't care that much about that anyway.