Thanks Mahmoodreza & Neil for the help.
Neither of these worked for me, unfortunately.
First, I want the three shapes to appear within one transform. It is definitely possible if I do it manually, but through scripting, it's not working. I think it is better to only have one object to select in the Outliner, rather than three.
I have attached a Maya file with three curves. All of them have Scale transformations applied to them.
If I run my code or Neil's code, the Curves don't have makeIdentity applied to them before the parenting.
Here is a video demonstrating this and the Maya file is attached.
Any help on why this happens would be fantastic. Thank you!