If you look at the OMP V2.5 spec, section 2.6.1 Parallel loop construct, it states:
The parallel loop construct is a shortcut for specifying a parallel construct containing one loop construct and no other statements.
If you then look at section 2.5.1 Loop Construct, you will see:
The syntax of the loop construct is as follows:
!$omp do [clause[[,] clause] ... ]
[!$omp end do [nowait] ]
So the answer is, you may not have any statements between the "parallel do" directive and the do-loop (which is defined in the text as a do-construct according to the Fortran standard).