Thanks for providing the working example. I can reproduce your observation with Sphinx 1.2.3 on Windows. As far as I can see, the HTML output is working as expected. With the LaTeX builder, the following document structure is produced:
\chapter{Where is my parent section?}
\label{intro:will-be-skipped}\label{intro::doc}\label{intro:where-is-my-parent-section}
\chapter{Second section}
\label{intro:second-section}
I found suspicious about your document that it did not define a title. As a workaround I have found that adding a higher hierarchy works, whereas it does not matter if you put it into index.rst or intro.rest. This is the modified index.rst:
=====
TITLE
=====
.. toctree::
intro
Resulting in:

I have then further looked out for this problem, and found this Bitbucket/GitHub issue dealing with the very same issue (it is from 2011):
https://bitbucket.org/birkenfeld/sphinx/issue/632/section-versus-chapter-oddity-in-latex
https://github.com/sphinx-doc/sphinx/issues/632
Quote:
Your index.rst doesn't have a title, right? Basically Sphinx gobbles
up the most toplevel title (which is then replaced by the document
frontmatter).
That issue was put "on hold" back in 2011, probably it was not considered failing behavior. It was then just recently closed on GitHub without being "fixed". So, as Georg wrote in that ticket, Sphinx indeed just consumes the highest hierarchy whereas its content does not appear anywhere.
Therefore: adding a "title hierarchy", no matter how you name it, is the proper solution.