Thanks for your investigation. I tracked down the issue and have a fix pending.
Note though, that with such an example as in the provided testcase, the parents can never be lazy. That means all parents will be eagerly loaded. Of course you can work around that by eager-joining them in DQL or by using Query::HINT_FORCE_PARTIAL_LOAD and things like that.
The reason why the parents in the example can not be lazy is because a parent can potentially be of any subtype, so you would not know which proxy to put in. In general, a single-valued association that points to another entity that has mapped subclasses can not be lazy. This "problem" does not occur when the targeted entity has no mapped subclasses (this means it either does not participate in a mapped inheritance hierarchy or it is a leaf in the hierarchy).
See also: http://www.doctrine-project.org/jira/browse/DDC-357