As you can see by these answers, you're kind of forcing people to guess when you don't give any specifics. How old is your sister and does she still live at home? What do you mean by "cheated on"? Maybe most important, what exactly did your parents do or say when she went to them?
They sound mean, but a lot might have to do with the way your sister handles things, and even you. You said you don't go to them with problems, and that's pretty sad, but lots of us are like that once we hit 15 or so. I grew up with great parents, but they were kind of distant, and it wouldn't have occurred to me to use them for emotional support beyond middle school. My friends knew what to say; my parents didn't. I ended up using them more for college advice and practical stuff.