Is RGB a parallel interface?
Yes. It simply spits out the raw red-green-blue data for each pixel, repeated for every refresh of the screen. It is basically like an old analog scan-line signal, but using a parallel digital bus for the data rather than a voltage signal.
For TFT's with RGB pins, do we always need LCD controller to take care of all LCD control signals (HSYNC,VSYNC,DCL,DEN,RGB data pins)
Yes, the screen requires these signals to do anything useful. They typically have no built-in controller or memory etc, so if the data isn't continually fed into the screen it will just show black.
If LCD datasheet has RGB pins, does it means it is compatible only for FPGA/CPLD boards which have these pins available for interface?
You can get microcontrollers (such as the LPC4088 series or STM32F429) that have built in LCD controllers that will generate these signals as well.
Can't we interface LCD with RGB interface directly to host controller?
The pixel clock (rate at which pixels need to be sent to the display) is normally around 6MHz. Theoretically if you have a fast enough micro you could generate these signals in software, but normally it is much cheaper and easier to use a micro with a dedicated controller or an FPGA.