I've recently bought a genuine Hex+CAN lead, and can report that it works perfectly (as far as I can tell) on my Mac 10.6.5 Snow Leopard with Parallels Desktop 6 (Build 6.0.11822). No fiddling about with settings, it 'just worked.' Granted I haven't done any coding or logging, but a scan works ok.
The reason I'm posting this is; before I bought the cable I tried to find someone who had used VCDS with Parallels in vain. The Ross-Tech website also dissuades you from expecting anything except Windows working - but then they would say that