The Sydney-born player, 23, moves to Craven Park on a three-year deal at the end of this campaign.
He has scored 11 tries in just 10 games for Parramatta this term and, in total, has recorded 35 in 55 appearances with the NRL club.
Chester said: “We’ve followed Ken for a number of weeks now and we’re delighted to make him our second new signing for next season.
“We’ve been looking to add some strike to the side and he is a proven try-scorer who we are confident will suit both the club and the Super League competition.
“We’re lacking a bit of speed on the edges at the moment and Ken will bring that. We’re looking forward to having him on board.”
Sio follows England centre Darrell Goulding who moves to East Yorkshire from champions Wigan Warriors ahead of 2015.
Able to play full-back and centre, too, he said: “It’s always been a dream of mine to come over there and play in Super League.
“I didn’t think it would happen until later in my career but the opportunity has come up early and I’m excited to have a crack at it.
“It’s going to be a different style of footy but I think it will be a more open competition and hopefully I can bring my ability to score tries over to Hull KR and add something to the team.
“I can play anywhere in the backs and I just want to play to the best of my ability every time I pull on the shirt, like I have done over here for Parra. I want to be emptying the tank and holding nothing back each time I take to the field.
“Coming over there is a massive move for me and it will be great to experience living and playing overseas so I’m really excited about it and I can’t wait to get started.”