As mentioned above in the comments, this seems to be related to some ad hoc choice of the creator of LaTeX. Here is a possible workaround.
\documentclass{report}
\usepackage{geometry}
\usepackage[parfill]{parskip}
\usepackage{tikz}
\usetikzlibrary{backgrounds}
\usepackage{tikzpagenodes}
\usepackage{lipsum}
\tikzset{SimpleBox/.style={draw,thick,rounded corners}}
\newcommand{\SimpleBox}[2][2pt]{%
\tikz[remember picture,overlay, baseline=(Begin.base)]{%
\node[anchor=base,inner sep=0pt,outer sep=0pt] (Begin) {\strut};}#2%
\tikz[remember picture,overlay, baseline=(End.base)]{%
\node[anchor=base,inner sep=0pt,outer sep=0pt] (End) {\strut};}%
\begin{tikzpicture}[overlay,remember picture]
\path (current page text area.north west) -- (current page text area.south west)
node(WestLine)[left]{};
\path (current page text area.north east) -- (current page text area.south east)
node(EastLine)[right]{};
\begin{scope}[on background layer]
\draw[SimpleBox] (Begin.north-|WestLine) rectangle (End.south-|EastLine);
\end{scope}
\end{tikzpicture}}
\begin{document}
Hello, this is text.
Using parskip with parfill option.
\SimpleBox{
\centerline{\textbf{Box X: Title}}
Hello, this is text.
Using parskip with parfill option also works in the box (and not just ``out of
the box'';-).
}
\end{document}

I understand that this does not answer your question, but I hope it allows you to achieve an output similar to what you wanted.
ADDENDUM: A code that allows the box to run over one (!) page break. Relies on the pioneering work of this post.
\documentclass{report}
\usepackage{geometry}
\usepackage[parfill]{parskip}
\usepackage{refcount}
\usepackage{tikz}
\usetikzlibrary{backgrounds}
\usepackage{tikzpagenodes}
\usepackage{lipsum}
\newif\ifSimpleBoxOpen\SimpleBoxOpentrue
\tikzset{SimpleBox/.style={draw,thick,rounded corners}}
\usepackage{lipsum}
\newcounter{tmp}
\newcommand\tikzmark[1]{%
\tikz[overlay,remember picture] \node (#1) {};}
\newcommand\StartBox[1][]{%
\stepcounter{tmp}%from https://tex.stackexchange.com/a/52579/121799
\tikz[remember picture,overlay, baseline=(Begin.base)]{%
\node[anchor=base,inner sep=0pt,outer sep=0pt] (Begin) {\strut};}
\label{a\thetmp}%
\ifnum\getpagerefnumber{a\thetmp}=\getpagerefnumber{b\thetmp} \else
\begin{tikzpicture}[overlay, remember picture]
\path (current page text area.north west) -- (current page text area.south west)
node(WestLine)[left]{};
\path (current page text area.north east) -- (current page text area.south east)
node(EastLine)[right]{};
\begin{scope}[on background layer,blend mode=multiply]
\ifSimpleBoxOpen
\draw[SimpleBox,#1] ( current page text area.south-|WestLine) --
(Begin.north-|WestLine) -- (Begin.north-|EastLine) -- (current page text
area.south-|EastLine);
\else
\draw[SimpleBox,#1] (Begin.north-|WestLine) rectangle (current page text
area.south-|EastLine);
\fi
\end{scope}
\end{tikzpicture}%
\fi%
}
\newcommand\EndBox[1][]{%
\tikz[remember picture,overlay, baseline=(End.base)]{%
\node[anchor=base,inner sep=0pt,outer sep=0pt] (End) {\strut};}%
\label{b\thetmp}
\ifnum\getpagerefnumber{a\thetmp}=\getpagerefnumber{b\thetmp}
\begin{tikzpicture}[overlay,remember picture]
\path (current page text area.north west) -- (current page text area.south west)
node(WestLine)[left]{};
\path (current page text area.north east) -- (current page text area.south east)
node(EastLine)[right]{};
\begin{scope}[on background layer]
\draw[SimpleBox,#1] (Begin.north-|WestLine) rectangle (End.south-|EastLine);
\end{scope}
\end{tikzpicture}
\else
\begin{tikzpicture}[overlay,remember picture]
\path (current page text area.north west) -- (current page text area.south west)
node(WestLine)[left]{};
\path (current page text area.north east) -- (current page text area.south east)
node(EastLine)[right]{};
\begin{scope}[on background layer,blend mode=multiply]
\ifSimpleBoxOpen
\draw[SimpleBox,#1] ( current page text area.north-|WestLine) --
(End.south-|WestLine) -- (End.south-|EastLine) -- (current page text
area.north-|EastLine);
\else
\draw[SimpleBox,#1] (Begin.north-|WestLine) rectangle (current page text
area.south-|EastLine);
\fi
\end{scope}
\end{tikzpicture}
\fi
}
\newcommand{\SimpleBox}[2][]{%
\StartBox[#1]%
#2\EndBox[#1]}
\begin{document}
Hello, this is text.
Using parskip with parfill option.
\SimpleBox{
\centerline{\textbf{Box X: Title}}
Hello, this is text.
Using parskip with parfill option also works in the box (and not just ``out of
the box'';-).
}
\lipsum[1-4]
\SimpleBox{\lipsum[5-6]}
\end{document}