From what I've read, you need security appropriate for Windows on the "Parallels Desktop 6 for Mac" side due to malware that attacks Microsoft.That depends on how you're using the Windows VM. If you are accessing the Internet from the Windows VM, then you need the same protection you would need with a native machine. For example, I only use my Windows VM to run Office and some software development tools, so I'm not doing the types of things that can lead to virus infections.
I don't know about Armor++, so I can't express an opinion. I tell people to avoid Norton (bloated and buggy), and I've heard good things about Avast.