You're right, the library interface only allows you to save a single parented prop, or a set of props, but not a set which is also parented.

It's been achievable by hacking for a long time. There may be a method in newer Poser versions, but the only way I know is to save the set, then edit the PP2 file to add the parenting information by hand. If nobody comes up with a more user-friendly procedure I can look up the details.