I have a MacBook Pro with M1 CPU and I would like to install virtual macOS ARM in Parallels Desktop . Where can I download macOS ARM please, the store only has downloads for Intel CPUs. Thank you very much for your advice.
You can download macOS on the App Store which will, of course, run on Apple Silicon.
The direct link to Big Sur is https://apps.apple.com/app/macos-big-sur/id1526878132
There is only one version of macOS, and it contains the binaries for both architectures. Apple calls this a Universal Binary.
I can't see anything on the App Store to suggest that the App Store download is for Intel only.
However, your problem may be more to do with Parallels itself than macOS. According to this Parallels Support document, the supported OSes on an M1 Mac do not include macOS: only Windows ARM (Insider Preview) and various Linuxes.
So you should really contact Parallels for help.