This is a documented restriction for sliced variables within parfor. The relevant doc page is here, and the relevant section is:
Form of Indexing. Within the first-level of indexing for a sliced variable, exactly one indexing expression is of the form i, i+k, i-k, or k+i. The index i is the loop variable and k is a scalar integer constant or a simple (non-indexed) broadcast variable. Every other indexing expression is a positive integer constant, a simple (non-indexed) broadcast variable, a nested for-loop index variable, colon, or end.
It's the sentence in bold at the end that is relevant. In your non-working case, the indexing expression k-1 does not meet the criteria. k is a broadcast variable, but the expression k-1 is not itself a broadcast variable. You could fix this like so:
A = zeros(10,5);
for k = 2:10
kLess1 = k - 1;
parfor i =1:5
A(kLess1,i) = 1;
because kLess1 is a broadcast variable.