According to this online owners manual it should be set at 150 yards. Pages 25 and 26. It also goes on to say that even in extreme parallax issues it shouldn't effect accuracy by more than about 2/10" at 100 yards.
Leupolds website is vague about parallax distances. It does say "rimfire parallax" on the website under VX-2's, but does not say what that means. The owners manual does go into more detail. It says the "Compact RF Specials" are set at 60 yards. But the VX-2 is not a compact scope, even in 2-7X33, and is not marketed as a rimfire scope.
One other issue. Leupold has made several upgrades in recent years. The Varix-II was replaced by the VX-II, which was replaced by the VX-2 and even the VX-2 received a major upgrade with no name change in January 2012. If your VX-2 has click adjustments it is the newest generation. I have no idea which generation of scopes are covered in the owners manual. I'd call Leupold for clarification.
But I'm betting that even if the parallax is set at 50-60 yards this is not your problem. I have no problems getting good groups with my VX-2's.