Hi! I think you might be facing the same problem as described here:
I think there might be another problem that somehow causes it to not extract the dependencies correctly – I'll take a look and we'll include a fix in the upcoming v1.10.2!
In the meantime, you could use Prodigy's db-out to export your annotations and then train with spaCy (or any other library) manually. The data will include the token indices, the labels and the heads, which is all you need to train a dependency parser.