After 20 days from when I share my last reports I'm not getting answer... SO?!?! Parallels?!?!? Are you alive?!?!
I updated to the latest v19.0.0. the issue still remains. I have to restart Windows every time to get rid of it.
In Parallels 19.4.0 the "grey box" issue still exists. I already had to restart windows this morning to get rid of it. My first screenshot of this problem was one year ago now!!
In my case, this problem is fixed at 19.4.0. It's been taking about a year to solve. I think it's effective way to solve the issue when it's including screenshot to check using framework.