Unfortunately you cannot parent one skeleton to another in the editor. We've considered adding this feature for a long time but there are a number of complexities involved and so far we have focused on adding other important features.
At runtime you can use the Spine Runtime API to have one skeleton behave as if it were attached to the bone of another skeleton, but you can't do it in the Spine editor. If you need help implementing that at runtime, please let us know. Note it has the limitation that a skeleton is always entirely above or below another skeleton (though there are some limited workarounds where you draw part of a skeleton, draw another skeleton, then draw the other part).
When you use Set parent and choose a bone in another skeleton, Spine moves the bone from one skeleton to another. Moving things across skeletons is limited, for example it does not move constraints. That is why you see the message that constraints were deleted.
Your image cannot be found after the move because the attachment is now in a different skeleton, so it is using the new skeleton's images path. How images are found using the images path is described here:
Images - Spine User Guide: Image file lookup
You may have an easier time combining the head and body skeletons rather than keeping them in separate skeletons.
Please note that the Spine Trial cannot save your project, it is only for trying out Spine. I mention this only because occasionally someone doesn't notice that and spends a lot of time on a project they can't save.
