The implementation of parallel applications is always a challenge. It embraces many distinctive design decisions that are to be taken. The paper presents issues of parallel processing with use of .NET applications and popular Database Management Systems (DBMSes). In the paper, four design dilemmas are addressed: how efficient is the auto-parallelism implemented in the .NET TPL library, how do popular DBMSes differ in serving parallel requests, what is the optimal size of data chunks in the data parallelism scheme, and how the TPL auto-parallelism behaves in the public clouds. They are analyzed in the context of the typical and practical business case originated from IT solutions which are dedicated for the energy market participants. The paper presents the results of experiments conducted in a controlled, on-premises and cloud environments. The experiments allowed to compare the performance of the TPL auto-parallelism with a wide range of manually set numbers of worker threads. They also helped to evaluate four DBMSes: Oracle, MySQL, PostgreSQL, and MSSQL in the scenario of serving parallel queries. Finally, they showed the impact of data chunk sizes on the overall performance.