Re: Do I have problem with this scope
I suggest calling S&B and talking with a tech about your problem.
As you know, when you adjust for parallax you are moving a lens longitudinally and if this is not done in a manor that keeps it perfectly aligned, POI will change. Movement is usually mostly at close range, since as the range gets closer the movement required by the lens goes up exponentially so on a scope that goes down to 10m any misalignment will really show up. I don't do airgun stuff so when I check a scope I only really care what it does between 100 and infinity and most good scopes will show little or no movment. What they do below that I don't care about.
While many things with a scope can be checked "the old fashioned way," by locking them down and observing a distant object or shooting at targets, this is one thing that's nearly impossible to check in that manor. As you adjust the parallax knob, you will naturally cause parallax error with whatever object you are observing to reference the reticle which makes observing POI change inaccurate as it is lost in the noise of parallax error. The collimation provided by the boresighter removes the parallax error and allows you to observe any possible reticle shift.