There are two different types of output possible from a parfor loop. The simplest is the "sliced" output where each iteration of the loop writes to a different element of the variable. The other type is a "reduction" output. In that case, as shown in the doc page I linked to, various reduction operations are permitted - and one of them is concatenation.
In this case, MATLAB knows how to reduce together the different values of List produced by each worker, and can correctly reconstruct the result "as if" it had been concatenated in serial execution.
