A.  Yes.  Scholarship $ used for anything other than qualified educational expenses (tuition, fees, required course materials ) is taxable income to the student.  The fact that it's reported on the 1098-T makes it simple; but the health insurance  would be taxable even  if not on the 1098-T.

Q. Do I need to file tax also in Illinois since the university is located there?

A.  No, it's taxable in your home state, since it's not earned income.

Q.  Can my parents, of whom I am a dependent still claim these health premiums as a deduction even though I am filing my own tax returns?

A. No, because they didn't pay it.