If you want to be able to use combinations like Command+Tab while joining a machine, you must give Parsec accessibility permissions in the settings.
- Go into System Preferences > Security and Privacy > Accessibility
- Unlock the preferences at the bottom left
- Click the plus icon to add Parsec in to the list
- Restart Parsec from the dock for the change to take effect
Once that is done, enable immersive mode in Parsec's settings to ensure your hotkeys are passed onto the host.