When you use the Set Figure Parent command, it parents the figures BODY actor. You can unparent the figure by selecting its Body, then from the Object menu select Change Parent and select the UNIVERSE.

Or you can select any part of the figure then apply this pz2 file:

{
version
{
number 3.0
}

actor BODY
{
parent UNIVERSE
}

figure
{
}
}

The position of the figure after unparenting will just be any translations and rotations of its BODY and hip, any translations and rotations that were applied to the parent object will be lost.