as I understand parallel compression works by sending some track to compressor with some settings, and then turning send knob how much you want. Doing this, you will get some of the unprocessed signal and also processed. But could you do the same with dry/wet knob on compressor itself? I just don't really understand the concept of this :)
In theory there is no difference. In practice, using parallel compression gives you more control over how the sound is processed going in and coming out. For example,you could process just the low end of a drum loop to add more power to the the kick. Also, since it uses bussing you could send the output of multiple tracks to a single parallel compressor and then mix in to taste.
The dry/wet knob does the same as mixing between two separate channels with "dry" and "wet" signals.
It's generally easier to set up a compressor channel with 100% wet signal though, because by doing that you can a) mix with the faders (and do it so that raising/lowering the other doesn't affect the other as it does with the dry/wet knob) and b) can decide on the channel routing (what to send and how much) easily.
I'd say it's a personal work flow thing more than anything. Sometimes it's just easier and quicker to use that dry/wet knob than routing things about, depending on the DAW and the plugins in question. Most times I would route for the reasons mentioned above especially if the sound is a main part of what your working on. However if I'm in a hurry and want quick easy and good parallel compression I will use the dry wet on something like the NI compressors.