How to install Mac OS X in Parallels VM without extra `OS X image file.hdd` file on host Mac?
For Parallels 11.2.2 and macOS 10.12 Sierra as guest OS, I had the same problem. Once the VM is installed make sure you configure the VM, go to the Hardware tab, select the Hard Disk item in the lefthand column that represents the unnecessary "OS X image file.hdd" file and click the minus sign button to remove it. You can delete the actual "OS X image file.hdd" file and your VM won't complain about it being missing when booting.