I've found the KB here
http://kb.swsoft.com/en/2226Basically, you need to install VSE8.5i onto the node(host) only, and this will protect all containers(virtual machines).
*Please note: We have our support firm acting as first level support for Virtuozzo and the quote on previous post was from them and NOT from Parallels. Sorry for the confusion.
However, the EICAR test file downloaded on containers is sitting in the saved location, and NOT detected unless double clicked within the container or scan the directory on the node.
I'm in talk with Parallels support if this is what supposed to happen.