I work closely with the cloud development team, so I'll try to answer your questions. With regards to local files, we are actively developing the full version of Wolfram Desktop to support this. We don't have an official release date for that yet but it should be coming soon. I tried the first example in the ScheduledTask documentation and did notice a problem. Regrettably this is a bug that creeped into a recent release which I have brought it to the attention of our developers. We will try to get it fixed as soon as we can. Finally, we do try to indicate in the documentation when a function does not work in the cloud. In the case of ParallelMap you will notice in the online documentation for that function there is text indicating this isn't a cloud enabled feature. That is slightly inaccurate because ParallelMap will evaluate in the cloud, but you will be limited to 1 kernel session making it functionally equivalent to Map. Still, it isn't the parallel computing option you want.
We are aware that many users would like to do true parallel computations in the cloud. We're developing our High Performance Computing product to support just that. Unfortunately I have to say 'coming soon' again, but I will note that this is been a highly requested feature, so we really are keeping it on the front burner.
Anyway, thanks for your feedback; we definitely want to know what is important to our users.