Well Yes even in that case you will need a SEP on both the Parallel OS.
As both the OS are independent of each other.They will only share some part of the memory.
Both OS will have their own user space and temp memory which will neither be shared nor can be accessed by the other OS programs like AV.
So as a best security practise you should install AV on both.
However if you install AV on one OS it will protect most part of your HDD from being infected but not all.