parfor does not guarantee to run the the iterates of the loop in any particular order, and therefore you have to work hard to get reproducible results in this case. Essentially, you would need to set up the random number state based on the loop index (you could use parallel streams to do this). It might be simpler to generate the random numbers outside the loop and send them as a sliced input, i.e.
rng(100);
R = rand(1000,1);
parfor idx = 1:1000
out(idx) = myFcn(R(idx));
end
Generally speaking, the random number generation itself is not the bottleneck in most applications, so this should not be a significant overhead.
