I have made a report to Parallels on the matter, their answer is interesting:
"Please contact Microsoft support as we don't have any expertise as the issue you have reported is not directly related to Parallels Desktop for Mac.
This is a Windows OS issue which is also possible to occur on real Windows PCs. You may either contact your local administrator or request assistance from the OS vendor directly. We advise you to check with the OS vendor/other 3rd parties providing support for Windows OS issues in advance if they charge any additional expenses for their support services. Unfortunately, Parallels will not be able to provide you with further support for this out-of-scope issue."
It brings the hint that the issue is in fact in Windows11 (for arm64 or also in x64 version ?).