We've had a couple of people report a similar problem. Basically it appears to relate to the OS not always automatically recognising which applications are installed. This can happen if you've had more than one version of the product on the OS in particular.
The first thing to try is to go to your default account and manually launch the application, the OS should at that point automatically recognise it as a valid application and you may then be able to select it in the parental controls. If you have more than one version of the app, delete the other versions too as that can confuse the process.
Another user who had this problem sent these steps which made it work for them:
1. Install Art Rage in the administrator account as normal.
2. Create the Parental controlled account NOT using simple finder and ALLOW the doc to be modified.
3. Log into Parental controlled account.
4. Open the hard drive and locate Art Rage.
5. Drag Art Rage's icon into the dock.
6. Open System Preferences/Parental controls.
7. Set the Parental controlled account to simple finder and CANNOT modify the dock.
8. save changes and close.
9. Log out of the Parental controlled account.
10. Log back into Parental controlled account.
It all boils down to making sure the OS recognises the existence of the app, which is normally done automatically when an application is launched.
Hope that helps!