That's a complicated question, as I've known several who have. Most of the parents in that position that I've known have done or said things like that because they know the sort of social stigma homosexuality still carries and they don't want their children going through that. I can understand that.
As for actually praying for someone to "become straight," the issue brings up several topics. Since, personally, I don't believe that "praying" for anything accomplishes anything literal besides assuaging the individual doing the praying, I'd say that the simple act alone of praying for someone to become straight isn't a bad thing.
Throwing it in that person's face, however, can have nasty consequences. Remember, homosexuality is a state of being, and the use of "prayer" by someone close - especially a family member - against that state of being injects a quite possibly unbroached subject into the mix. Admitting to being a homosexual does not necessarily require a loss of spirituality, but when one's parents start praying for one to not be a homosexual anymore than suddenly spirituality is cast in a decidedly negative light. It generally takes a long time, a lot of effort, and a hard-fought triumph over self-doubt and fear to come out of the closet, and responding immediately with "but I don't want you to be a homosexual" belittles all that in their eyes.
I know personally a young man who struggled with his sexuality all through high school. Eventually he got up the courage to tell his family about it, and his mother didn't recieve the news well (she told him it was just a phase and that he had to grow out of it). While I wasn't privy to all the messy details of the affair, I came to understand that there was also a religious aspect to it (she told him that what he was doing was sinful, etc). Eventually they reconciled when she managed to recognize that above all else she loved her son and found it in herself to support him no matter which gender he preferred sexually, but one of the results of the mess was that he lost all but the most academic interest in religion.