In a large mixing bowl, whip the heavy cream until soft peaks form. Gradually add the sweetened condensed milk, key lime juice, and vanilla extract. Continue to whip until well combined and slightly thickened.
In a separate bowl, combine the graham cracker crumbs and sweetened coconut flakes.
In serving glasses or a trifle dish, layer the graham cracker mixture, followed by a layer of the key lime cream mixture. Repeat the layers until the glasses are filled, finishing with the key lime cream on top.
Cover the parfaits with plastic wrap and refrigerate for at least 2 hours to allow the flavors to meld and the dessert to set.
Before serving, garnish each parfait with a sprinkle of unsweetened shredded coconut and a bit of lime zest for added flavor and decoration.