Duuude speaks truth. As long as your shield is present, you do not have a chance to parry.
An old game mechanic that was carried over. Gladiators did not have a passive chance to block before. During this time, you could parry an attack. In order to have a chance at blocking, a Gladiator would have to select the Guard command. During this time, the gladiator could not parry, since they had their shield actively raised. Since most gladiators were constantly hitting guard to keep their shield up anyway, SE made the shield auto-block, but at the cost of reduced block rate. However, since the game things your shield is always out, gladiators do not have a chance to parry unless the shield is removed from the equation.
Battledance Materia and equipment that yield +parry rate will enhance your parry chance ever so slightly.
Likewise for Swiftwall Materia and equipment that yield +block rate.