Mostly we know details about Herod the Great from the Romano-Jewish historian Josephus, and a bit from The Bible.
Before I get going, I want to address one thing that looks like a misconception here. During the Reign of King Herod, Judea was under the "protection" of Rome. One could (and Wikipedia today does) say it was a client state, but it would perhaps be more accurate to say it was a Roman Province, and King Herod was a glorified governor. According to Josephus, he was appointed to that position by the Roman Senate. So he's not someone who the Emperor of the Parthian Empire would likely have seen as an equal.
To be specific, Herod's history was discussed in Josephus' Antiquities of the Jews*. Herod in this account was given control of Galilee at age 15, and did surprisingly well at it. There follows a lot of proclamations from various Roman rulers and political figures that appear to be included to prop up the author's claim that the Jewish domains were very important to the Romans, a bit about how Herod's father was killed, and then we go straight into the Roman Civil war after the Murder of Caesar and the Parthan invasion of Syria, with Pacorus leading the army.
I could only find two mentions of Orodes in AotJ, I'm not sure that either of them aren't actually Orodes I rather that II, and both appear to place him within the Parthan Empire. There's no mention of Herod venturing outside the Roman Empire, either. So no, there is no direct indication either of them ever met.
Indirectly, Herod seems to have mostly stayed in his domains (the exceptions being military expeditions against bandits), and Orodes II seems to have typically stayed home and let his generals handle all his army's field work. There are some mentions in Josephus of leaders sending or receiving embassies (delegations), so that seems to have been how any such communication would have been accomplished, were it to happen.
* - Obviously AotJ is out of copyright, so you can download English translations to read yourself directly from Project Gutenberg (which doesn't play nicely with my browser), or indirectly via Josephus.org.