No one can debug this without knowing much more information, but it either
- error (syntax) of the extension itself
- you are not using PostgreSQL 9.6 (you may have an earlier version installed)
Connect to the database in which you launched CREATE EXTENSION and run this
SELECT version();
My assumption is that you are not on server 9.6 and are connecting to an earlier version of PostgreSQL. PARALLEL has been new since 9.6 .
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