I was so happy today that I have been finally able to install Windows Phone 8 SDK and try it a bit. I installed fresh new installation of Windows 8 Pro into my virtual machi
I posted the same question on Parallels forum.
The emulator is actually a virtual machine, so we are talking about a vm inside a vm, this requires support for nested Hyper-V, which afaik is planned but not implemented yet, also VMWare Fusion already supports this, if you are so desperate.
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See Parallels forum post: http://forum.parallels.com/showthread.php?p=646448#post646448