The import process should create a copy of the Parallels VM's disk files (you can check that by locating the VM's bundle file (the ..vmwarevm file) in the Finder, right clicking on it and choosing "Show Package Contents" - that will open a Finder window that will show you all of the components of the VM).
Once you verify that there are copies made of the virtual disk files, then go ahead and delete and remove both Parallels and the VM. You might want to save away a copy of the Parallels VM. Just in case.