Parallels is a virtual machine, meaning, it creates devices that don't really exist and ties their functions back to the host OS/hardware. The guest OS, however, sees them as real devices. So far no one has figured out how to get full speed access to the video card to do the sort of thing you want to do.
So the answer is: OpenGL is not supported yet, or the performance is terrible, in Parallels and other VM solutions. Maybe soon...
