If you save them all to the same household, the family tree will look the same with the blank parent because it saves all the family ties. Maybe if you try saving each sim individually? I haven't tried that though, just a guess.
Yeah, I know it's annoying. I've been through this a bunch of times before I learned to just always make the parents first.
Or (I think) I have been able to unlink the siblings, then make parents for one sibling, then finally relink the siblings after the parents are made. But only if none of them have children. It's so complicated, lol!