From what I’ve read about Parallels, you have to have a program to firewall and protect the Windows folder under Parallels, as if it were a separate computer.
If your Mac is the only thing accessing the internet, no. If you have your Windows install accessing the internet, it's sandboxed and you do have to run it as a Windows install... with all the protections you would use as though it were a stand-alone Windows. However, if you are using a virtualized HD file, with a backup, it's trivial to throw out the compromised virtual HD and replace it with a copy of your clean backup and go on your merry way in the matter of seconds.