Since when is there immigration inspection when departing the US? There isn't. Your parents did nothing unusual. The only problem might be if they were subject to NSEERS, in which case they'd have to go find an immigration office. Where they subject to NSEERS, also known as "special registration"? If not, then there is really nothing to post about. Even if they were subject to NSEERS, the fact that they are not non-immigrants, but rather parolees, means that they probably didn't have to appear for that either.