When used as a stand-alone sentence, you're right:

> 1) Where should this car be parked? **<-- correct**

> 2) Where this car should be parked?

Now... if it's part of a larger sentence it's different:

> 1) Do you know where should this car be parked? 

> 2) Do you know where this car should be parked?  **<-- correct**

My version of MS word correctly responds to both of these examples.   I would speculate that either there was some other typo that made MS Word think you were in the second scenario, or it was just a flat-out bug in the grammar checker.