My response is usually "Do you think all dogs and cats should be set free too?" (If they say yes, we have a difference of opinion so basic there's no point in even trying to converse.) Once upon a time, sure, maybe parrots shouldn't have been made into pets. But they have been. Unless you went to Madagascar and plucked wild baby lovebirds out of their nests (at least I think those are lovies in your pic?), you have absolutely nothing to feel guilty about. Sure, it gets under my skin a little when I hear some people talk about their parrot like they are the equivalent of a watch or a nice handbag... an inanimate possession. They should be at worst a beloved pet, and more like a member of the family - especially the brighter species. But ultimately, they are pets now. They have been selectively bred for generations - many, many generations in the case of the shorter-lived species. Many of them would no longer be able to survive in their 'native' habitat even if they were raised appropriately for reintroduction, simply because of the colors we have bred! (Look up documentation on what usually happens to albino animals in the wild, for example.) Domestication can take as little as 3 generations. Most companion parrot species have had well over the 10-20 generation 'standard' to be considered domesticated. Meaning, the pet parrots we keep are really no longer 'wild animals', and by some definitions aren't even the same species as their wild counterparts, just as our dogs are by some definitions no longer the same species as wolves, even though by strict scientific definition they are (they can not only interbreed, but the offspring of interbreeding is fertile, meaning they are still the same species; hybrids between closely related but separate species are infertile, such as mules (donkey/horse hybrid).)
TL;DR: If you don't think your pomeranian should be set free to run with a pack of wolves, then quit with the 'pet parrots should be free!' nonsense.