Wow! I found the answer! "parallel_for" and "parallel_for_" (with a trailing underscore!) are totally different. You need the trailing underscore to make it work! Otherwise it will just run your loop in serial and you will have to use a BLOCKEDRANGE instead of a range! AHH!
Thanks to @Daniil Osokin and especially @Vladislav Vinogradov for pointing this out!
So again you code will need to look something like this: cv::parallel_for_(Range(0, 1000000), Parallel_Test(data1));
More updated details at: http://answers.opencv.org/question/3730/how-to-use-parallel_for/