Hi,
when you instanciate a prefab, you can get a reference to the newly created object in the scene, you can then use "set parent" action to parent it to anything you want. I am not sure what is happening with your parenting. Maybe you are not parenting to the right transform?
you can't set the parent of the prefab itself, you have to set it on the instanciate gameObject ( use the "store Object" of the "Create Object" action.
bye,
Jean