Does it? Well, I suppose it can if you create 1 frame gaps for the sake of it.
But let's go over this properly so you know what's going on:
Now, I personally know Scorpion's 21 on block has a cancel advantage of precisely +20 on block, which is why I'm using this for the example.
If I follow up with the 4 part of the string, that takes 22 frames to become active, leaving a 2 frame gap, meaning Kotal has enough time to activate the EX parry and punish accordingly, as you can see in the video.
However, if I were to cancel the 21 on block into teleport (not that there's any reason to, again, this is just to show how the parry properties work), which takes 21 frames to become active, that creates a 1 frame gap, and in that 1 frame, Kotal is simply invincible to the incoming teleport. When the parry is active on the next frame, there isn't anything to parry because the teleport already collided with the prior invincibility frame.
Blood God lacking a traditional reversal can bring about some quirks more than others, but none of this is really a bug, it's ultimately just part of the burden you bear when you commit to play the variation.