Sophos Mac Home AV is a Mac-only product. For realtime protection of your Windows guest VM, you'll need AV software running under Windows.
However, since Mac Home AV scans the filesystem, if the Windows FS is mounted on your Mac host, it will get scanned. The actual product uses the same detection engine as our enterprise Windows product, so malware will get detected on the guest drive as well.
HOWEVER, if the guest drive is not mounted in your host, it won't be scanned.
Plus, if you have it both running and mounted (not usually a good idea), if both OSes have AV software running, they may conflict, causing unexpected results.
Was that understandable?
Thanks for the feedback :)
Parallels is the one virtual machine that I haven't worked with extensively. Sounds like you get file-level protection "for free" by using the Mac product. Running another AV solution inside Parallels would definitely cause problems under this configuration.