Cant find how to do that in the manual. There is a pointer for each entity, entity.parent, but it seems like it's something else.

Can someone shed some light on this?

The parent pointer is filled if an entity is included in a map entity (a wmb file which contains blocks/static mesh plus entities). The so called sub entity points to its map entity.

If you want to create custom parent/child relationships, you have to model that on your own.