I too have been struggling with this inconvenience for quite some time. I can go for several weeks just ignoring the issue, and then something comes up where it causes me to descend into a battle of will and spend at least a couple hours re-trying settings and experimenting to see if I just missed something the last time around. The lack of Ctrl-Shift-G functionality and quick drop shift keyboard shortcuts are particularly discouraging. It's all very annoying, but not so annoying that I'm willing to stop using VM's in order to gain back the use of the shortcuts that native OS users enjoy. (VM's are a way of life. I don't know how I ever managed to survive without them...)
Unfortunately for me, Michael's suggestion (and good fortune) of changing the Parallels' Mouse Shortcuts settings to disable 'Secondary click' and 'Middle click' does not fix the problem for my setups. I have several development Mac systems with a variety of Lion, Mountain Lion, and Mavericks, all currently running Parallels 9.0.24172. I have many WinXP and Win7 x64 VM's. Some are run from the local hard drives, others on an external drive used for portability between Mac development systems (with the VM's running directly from the external drive - it does work very well with almost no performance hit, and what a convenience). The bottom line is that nothing I do or change seems to fix this issue on any of the VM's across any of the development machines.
For me, the problem has always existed, starting with Parallels 7, then on Parallels 8, and now on Parallels 9. LabVIEW seems to be the only application I've found so far that is affected, from versions 7.1 all the way through LV 2013. As Jack mentioned earlier, other applications like Notepad++ do not have this issue.
I have used VMWare Fusion in the past, but have not upgraded in a long time. I'm wondering if the latest VMWare Fusion might behave differently. I understand from an earlier post that VirtualBox VM's do seem to exhibit the same problem. Has anyone here tried a recent version of VMWare Fusion to see if there are similar issues?