MacOS – Connecting to a VPN on the Guest OS

I'm trying to connect my Virtual Machine (Windows 10) only to a VPN IPsec server.

I can successfully connect to that VPN (IPSec) through MacOS. I could connect Mac to the VPN and then share the connection with guest. However, my whole system would be connected to the VPN. I'm trying to connect only guest to the VPN.

When I try to connect to the VPN on the Windows VM, however, this happens:

I have contacted Parallels, and they sent me these steps, which I have followed correctly (I think):

Please perform the following steps,

1) Open Configuration Editor and create a new Network Adapter using
"Add" button 2) Set Bridged mode for one of them and Host-only for the
other.

Connect to VPN from Windows, using these steps:

1) Open the Windows Control Panel -> Network Connections. 2) Click
'Create a new connection' link on the left-hand side of the window. 3)
Click Next, then choose 'Connect to the network at my workplace' from
the list and click Next. 4) On the Network Connection page of the
wizard, choose the 'Virtual Private Network connection' and click
Next. 5) Enter a name for the new VPN connection in the 'Company Name'
field and click Next. 6) In the 'Public Network' window: If you choose
'Automatically dial this initial connection' as default option, the
VPN connection will always be initiated even when the computer has not
been connected to Internet yet. If you choose 'Do not dial the initial
connection', Internet connection will be established before the new
VPN connection is initiated. Choose one of these options and click
Next. 7) Enter the name or IP address of the VPN remote access server
to connect to, and click Next. 8) In the "Connection Availability"
window you will see two options: 'My Use Only' ensures that Windows
makes the new connection available only to the currently logged on
user. 'Anyone's use' option makes the connection available to anyone.
Choose one of the options and click Next. 9) Click Finish. The new VPN
connection information has been saved.

On Mac side use Internet Sharing in System Preferences to share
Host-guest adapter connection with Mac network interface. Note:
Firewall should be disabled on Windows side.

Any suggestion?