I was skiing parallel from day one. That was due at least in part to stupidity, however - I was unaware that I was signed up for a lesson, so I started learning by myself. I got hurt quite badly (couldn't walk the next day) and strongly recommend against doing this. BUT...
I am pretty convinced that if I had taken a never-ever lesson that first day, I would have ended up taking more lessons along those lines, and wasted a lot of my time with wedging. At this point, I had done a lot of cross-country skiing, so it wasn't as if I had never stood on two skinny planks before. As it was, I took a lower-intermediate lesson the next week (wearing a soft knee brace) and found it was more to my speed: still very beginner oriented, but teaching parallel technique.
I guess that point is, your mileage may vary. For some people, learning from a wedge is best, and it is certainly the easiest for a resort and ski school to use, due to ski slope traffic and other factors. For others, going direct to parallel is probably the best thing to do.
In any case, however, I think every skier should learn both a braking and steering wedge. It's hard to make a hockey stop in a lift line