Parallels can be a blocking point for the Remote App if it is not setup as a wireless connection.
Go into your Parallels configuration / Hardware / Network section for that virtual device (usually Windows 10) and change your network Type to a wireless network card type.
You'll likely need to have that virtual machine shut down during the change then load it back up. Make sure you can still access the network/internet once that's done. Once that's done you'll likely get a different PerfPRO ID (IP address) within Studio's Options / Remote Control section. You can then update your Remote App settings to match the same ID.