WASAPI works fine as of Parallels 9, but Exclusive Mode doesn't work, when using the "default" Parallels Audio output. I'd figured that out previously, but didn't take action to "fix" it (and then, forgot). That's not surprising, really, and doesn't much matter because the Parallels Audio Device would be shared no matter what (not by Windows necessarily, but by the OSX mixer).
In any case, using WASAPI in non-exclusive mode means that it must use the same sample rate that Windows has set in the Sound Control Panel for the device (so that Windows can also access it simultaneously if it needs to). I hadn't messed with this in my VM install, so it was set to the default 16/44.1 settings for Windows. That's why my audio worked (they're mostly 44.1kHz) and my video didn't (they're mostly 48kHz). I set the Windows settings to 24\48 and then set the DSP in MC to resample everything to 48kHz, and then everything works fine. You could, I suppose resample higher, but this really gains you nothing. I figure this way it doesn't force me to resample some things at all, and it works. I just wonder if this is preferable to just using DirectShow? Not sure in this oddball case.
Also, I tested with my external USB DAC, and it works perfectly in both WASAPI Exclusive and AISO, as expected. I'm not sure about HDMI out, as the mini isn't near a HDMI-enabled receiver. There's a free trial of Parallels, so I'd just try that out if you want to know.
I should also mention that Red October HQ also works flawlessly on my machine under Parallels with the default settings, and Hardware Acceleration enabled. I tried playing a 17mbps 1080p BluRay rip that often gave me trouble with slower hardware, anyway, and it worked. I do have the 2.6GHz Core i7 mini, 16GB of RAM (aftermarket, natch), and the fusion drive, however, so YMMV with the slower options.