Well if you have Parallels already going maybe you should simply try
it. I'd plug in the MIDI interface after you have Windows going so
Parallels can "capture" it for use when it's seen as a new device
being connected. Haven't tried MIDI with it since I set my MacBook
up so Parallels is reading a Boot Camp partition (rather than a
Parallels exclusive partition). If you've set up Boot Camp then you
have the option of just running Windows solo, which usually
simplifies things a lot when it comes to trouble shooting.

Anyway, I'd think the only thing that's definitely not going to work
is attempting to share a single MIDI interface between something
going on in Parallels & OSX at the same time... and what's guaranteed
to work is booting up in Windows if you've used Apple's Boot Camp to
set Windows up. Oh, and obviously you'll need to download and install
drivers for Windows to use some MIDI interfaces.

nick