LED with opto-isolator does not work
The LED in the optocoupler is an infrared type rather than a visible type. As such, it has a much lower forward drop than even a red LED, so when the two are in parallel, the IR LED in the optocoupler hogs all the current and has a forward voltage drop of perhaps 1.1 or 1.2V, which is not enough to allow the visible LED to light. 

When two similar visible LEDs are in parallel, they share current better, and will typically light to (visually) similar brightness. When the two LEDs are in series (and there is enough voltage for both) then the same current flows through both LEDs and both will light. 

Here is what typical curves look like (this one for a Lite-on 4N35 optocoupler)



This one for Cree LEDs of various colors :