The 1M, 2k and 3k are, indeed, parallel.
But they are also disconnected from the rest of the circuit by the short.
Even if you did include it, you would not get exactly 4.0k. Be careful about rounding off too soon.
Actually physically draw the circuit (without the load) with the short in place of the 20V source.
If you put an ohmmeter between a and b, what would it read?