I agree whole-heartedly. After my switch 5+ years ago, I initially retained my old Windows box just for running Quicken. Finally I think I went with Quicken 2005 on the Mac, and found it's featureset to be weak and the app was just not as polished as the Windows version. But it would also crash randomly (and not-so-randomly), and was just too buggy, and my books finally got into a state where an account could literally not be balanced (I'm meticulous about my bookkeeping -- this was a bug). I got disgusted and abandoned Quicken on the Mac.
I tried Moneydance. This was OK, but like you said, unpolished and there was an accumulation of minor usability issues that ultimately made it a pain to use. Also it didn't have the powerful type of portfolio management features that I needed.
In frustration, I dropped Moneydance and went for GnuCash. I wanted to support an open source product where there was some chance of bugs getting fixed, etc. But ultimately GnuCash had many of it's own reporting issues, and the overhead of having to essentially self-manage all the double-entry bookkeeping of stock and mutual fund transactions was painful. The various reports allowed by GnuCash were insufficient. Plus it was running under X-Windows and the UI left much to be desired.
By this time there was a new version of Quicken for the Mac available, so I tried it again and ended up with similar problems to the first time around (bugs, crashes, weak 401K features). So here I am, like you, back on Quicken 2007 for Windows running via Parallels. It's pretty much the only Windows app I run, but for the convenience and well-developed feature set of Quicken for Windows, I find it's worth every penny. Believe me, I wish I could run the Mac version, but to me it just doesn't come close to the feature set and stability of the Windows version.
Mac Personal Finance Software = Disappointment