As discussed previously:
Yoreh Deah 240 siman 8 says that kibud av v'em does not override "any torah or rabinic commandment."
Beis Lechem Yehuda there comments:
If a son knows that his parents fret when he fasts, he should not fast any days that are not obligatory.
The Pischei Teshuva talks about wearing black as a sign of mourning, or saying kaddish; broadly speaking, kibud av v'em should come before a midas chasidus.
(There are shades of gray that depend on how much my behavior is affecting my parents; there could be things that are truly none of their business. See the linked answer for more on that; but in the example here, if my parents are worried for my health, that is their business!)
Siman 240 does end with the note that attending a yeshiva where you think you'll best learn Torah is more important than honoring your parents. But choosing a place where you think you'll have success is not a midas chasidus, it's part of the mitzva of Talmud Torah!