WordPress doesn't allow you to set a draft page as parent. Or a private page, for that matter. Is there a reason why draft pages can't be set as parent? If not, I'll create a ticket for this.
You can work around it by temporarily publishing a page, setting it as parent, then making it draft again. The fact that this is possible suggests that not being able to set a draft page as parent is a bug rather than a feature.
I've seen a trac ticket for the private page problem, but I wonder whether (due to permissions) the draft page version might be an easier bug to fix.