It seems that the parent links of some categories are not in the most recent dump (20110722). I noticed that these specific categories tend to have numbers in their titles (e.g. "Category:1987 in science"). I'm guessing it's some kind of bug that is having trouble with the parsing but I'm not too sure.
It seems to be a bit inconsistent as "Category:1906 births" seems to work but "Category:1906 deaths" and "Category:1906 novels" do not.
enwiki-20110722-csv$ grep 1971.television.series.endings page.csv
14832045,'1971 television series endings,1,-1
enwiki-20110722-csv$ grep ^14832045 categoryParents.csv
I'm not actually using the API but instead parsing the csv files so I maybe loading things wrong.