To what end?
If you plan to animate it that way, without the parent, they would move in straight lines instead of act like they are actually pivoting on the red dot.
You could always temporarily parent them to a bone, rotate, then unparent, if you just wanted to change them as a group once.
But if you plan to do this often enough, why would it be a bad idea to give them that shared parent?
Are you using Spine Pro? If so, a Transform Constraint may be useful depending on what you're trying to do.