Please include how you're starting the parpool and how mex is being called. I suspect the issue is that the files required when calling mex aren't automatically attached to the parallel pool. For instance, in the following
mex my_code.m
parpool probably won't auto-attach my_code to the pool. Instead, you'll first need to run as the the error message states
addAttachedFiles(gcp,'my_code.m')
