"Required GNU/Linux Components Missing: Some Components needed for Parallels Tools installation are missing in your system. Do you want to download these components automatically?"
The following packages can be installed first to avoid having parallels do it for you:
$ sudo su - $ yum install $ yum install kernel-headers kernel-devel gcc
And then of course, you still get the error message.... But if you click through it after installing those packages it seems to go a hell of a lot faster, so I think I might have accomplished something.
The other weird thing is the permissions on the files when mounted automatically (for instance, while logged into gnome). If you get permission denied errors running the installer script you can copy the contents of the cdrom to ~/parallels, chmod -R +x ~/parallels, and then run "sudo bash ~/parallels/install".