I notice that if I use the CS6 feature of holding down the shift key while pickwhipping a new parent (to get the child to move to the parent), it deletes any keyframes I have set (position,scale,rotation). Is this normal behavior?
See the third item in the "layer transformations" list on this page:
So, yes, that's normal behavior in CS6, and the behavior is much better in the next version.
Retrieving data ...