Parallel.ForEach requires a list of user-defined workers and a non-async Action to perform with each worker.
Task.WaitAll and Task.WhenAll require a List<Task>, which are by definition asynchronous.
I found RiaanDP's response very useful to understand the difference, but it needs a correction for Parallel.ForEach. Not enough reputation to respond to his comment, thus my own response.
using System;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using System.Threading.Tasks;
namespace AsyncTest
{
    class Program
    {
        class Worker
        {
            public int Id;
            public int SleepTimeout;
            public void DoWork(DateTime testStart)
            {
                var workerStart = DateTime.Now;
                Console.WriteLine("Worker {0} started on thread {1}, beginning {2} seconds after test start.",
                    Id, Thread.CurrentThread.ManagedThreadId, (workerStart - testStart).TotalSeconds.ToString("F2"));
                Thread.Sleep(SleepTimeout);
                var workerEnd = DateTime.Now;
                Console.WriteLine("Worker {0} stopped; the worker took {1} seconds, and it finished {2} seconds after the test start.",
                   Id, (workerEnd - workerStart).TotalSeconds.ToString("F2"), (workerEnd - testStart).TotalSeconds.ToString("F2"));
            }
            public async Task DoWorkAsync(DateTime testStart)
            {
                var workerStart = DateTime.Now;
                Console.WriteLine("Worker {0} started on thread {1}, beginning {2} seconds after test start.",
                    Id, Thread.CurrentThread.ManagedThreadId, (workerStart - testStart).TotalSeconds.ToString("F2"));
                await Task.Run(() => Thread.Sleep(SleepTimeout));
                var workerEnd = DateTime.Now;
                Console.WriteLine("Worker {0} stopped; the worker took {1} seconds, and it finished {2} seconds after the test start.",
                   Id, (workerEnd - workerStart).TotalSeconds.ToString("F2"), (workerEnd - testStart).TotalSeconds.ToString("F2"));
            }
        }
        static void Main(string[] args)
        {
            var workers = new List<Worker>
            {
                new Worker { Id = 1, SleepTimeout = 1000 },
                new Worker { Id = 2, SleepTimeout = 2000 },
                new Worker { Id = 3, SleepTimeout = 3000 },
                new Worker { Id = 4, SleepTimeout = 4000 },
                new Worker { Id = 5, SleepTimeout = 5000 },
            };
            var startTime = DateTime.Now;
            Console.WriteLine("Starting test: Parallel.ForEach...");
            PerformTest_ParallelForEach(workers, startTime);
            var endTime = DateTime.Now;
            Console.WriteLine("Test finished after {0} seconds.\n",
                (endTime - startTime).TotalSeconds.ToString("F2"));
            startTime = DateTime.Now;
            Console.WriteLine("Starting test: Task.WaitAll...");
            PerformTest_TaskWaitAll(workers, startTime);
            endTime = DateTime.Now;
            Console.WriteLine("Test finished after {0} seconds.\n",
                (endTime - startTime).TotalSeconds.ToString("F2"));
            startTime = DateTime.Now;
            Console.WriteLine("Starting test: Task.WhenAll...");
            var task = PerformTest_TaskWhenAll(workers, startTime);
            task.Wait();
            endTime = DateTime.Now;
            Console.WriteLine("Test finished after {0} seconds.\n",
                (endTime - startTime).TotalSeconds.ToString("F2"));
            Console.ReadKey();
        }
        static void PerformTest_ParallelForEach(List<Worker> workers, DateTime testStart)
        {
            Parallel.ForEach(workers, worker => worker.DoWork(testStart));
        }
        static void PerformTest_TaskWaitAll(List<Worker> workers, DateTime testStart)
        {
            Task.WaitAll(workers.Select(worker => worker.DoWorkAsync(testStart)).ToArray());
        }
        static Task PerformTest_TaskWhenAll(List<Worker> workers, DateTime testStart)
        {
            return Task.WhenAll(workers.Select(worker => worker.DoWorkAsync(testStart)));
        }
    }
}
The resulting output is below. Execution times are comparable. I ran this test while my computer was doing the weekly anti virus scan. Changing the order of the tests did change the execution times on them.
Starting test: Parallel.ForEach...
Worker 1 started on thread 9, beginning 0.02 seconds after test start.
Worker 2 started on thread 10, beginning 0.02 seconds after test start.
Worker 3 started on thread 11, beginning 0.02 seconds after test start.
Worker 4 started on thread 13, beginning 0.03 seconds after test start.
Worker 5 started on thread 14, beginning 0.03 seconds after test start.
Worker 1 stopped; the worker took 1.00 seconds, and it finished 1.02 seconds after the test start.
Worker 2 stopped; the worker took 2.00 seconds, and it finished 2.02 seconds after the test start.
Worker 3 stopped; the worker took 3.00 seconds, and it finished 3.03 seconds after the test start.
Worker 4 stopped; the worker took 4.00 seconds, and it finished 4.03 seconds after the test start.
Worker 5 stopped; the worker took 5.00 seconds, and it finished 5.03 seconds after the test start.
Test finished after 5.03 seconds.
Starting test: Task.WaitAll...
Worker 1 started on thread 9, beginning 0.00 seconds after test start.
Worker 2 started on thread 9, beginning 0.00 seconds after test start.
Worker 3 started on thread 9, beginning 0.00 seconds after test start.
Worker 4 started on thread 9, beginning 0.00 seconds after test start.
Worker 5 started on thread 9, beginning 0.01 seconds after test start.
Worker 1 stopped; the worker took 1.00 seconds, and it finished 1.01 seconds after the test start.
Worker 2 stopped; the worker took 2.00 seconds, and it finished 2.01 seconds after the test start.
Worker 3 stopped; the worker took 3.00 seconds, and it finished 3.01 seconds after the test start.
Worker 4 stopped; the worker took 4.00 seconds, and it finished 4.01 seconds after the test start.
Worker 5 stopped; the worker took 5.00 seconds, and it finished 5.01 seconds after the test start.
Test finished after 5.01 seconds.
Starting test: Task.WhenAll...
Worker 1 started on thread 9, beginning 0.00 seconds after test start.
Worker 2 started on thread 9, beginning 0.00 seconds after test start.
Worker 3 started on thread 9, beginning 0.00 seconds after test start.
Worker 4 started on thread 9, beginning 0.00 seconds after test start.
Worker 5 started on thread 9, beginning 0.00 seconds after test start.
Worker 1 stopped; the worker took 1.00 seconds, and it finished 1.00 seconds after the test start.
Worker 2 stopped; the worker took 2.00 seconds, and it finished 2.00 seconds after the test start.
Worker 3 stopped; the worker took 3.00 seconds, and it finished 3.00 seconds after the test start.
Worker 4 stopped; the worker took 4.00 seconds, and it finished 4.00 seconds after the test start.
Worker 5 stopped; the worker took 5.00 seconds, and it finished 5.01 seconds after the test start.
Test finished after 5.01 seconds.