Bioinformatics applications frequently involve high-dimensional model building or classification problems that require reducing dimensionality to improve learning accuracy while irrelevant inputs are removed. Thus, feature selection has become an important issue on these applications. Moreover, several approaches for supervised and unsupervised feature selections as a multi-objective optimization problem have been recently proposed to cope with issues on performance evaluation of classifiers and models. As parallel processing constitutes an important tool to reach efficient approaches that make it possible to tackle complex problems within reasonable computing times, in this paper, alternatives for the cooperation of subpopulations in multi-objective evolutionary algorithms have been identified and classified, and several procedures have been implemented and evaluated on some synthetic and Brain-Computer Interface datasets. The results show different improvements achieved in the solution quality and speedups, depending on the cooperation alternative and dataset. We show alternatives that even provide superlinear speedups with only small reductions in the solution quality, besides another cooperation alternative that improves the quality of the solutions with speedups similar to, or only slightly higher than, the speedup obtained by the parallel fitness evaluation in a master-worker implementation (the alternative used as reference that behaves as the corresponding sequential multi-objective approach).