Not to be confused with SP Tama's skin
It makes sense for it to have that name, but, really?
What's Demon Parade?
Demon parade is when demons - I mean, many shiki parade in front of you on a red carpet. You (and your friend, if you invite them) can throw soy beans to "exorcize" them, earning their shards. You can summon them once you collect enough shards. However, you only have a limited number of beans, so you can't get them all. But don't worry, you probably can get most of them through the power of luck, friendship, and the help of power ups. (You are the MC of this story.)
You can watch the tutorial video in the game to get a feel of the Demon Parade or just try it out on your own.
If you're here looking for tips to get those SSR/SP drops, my advice is: there's none. No tips. They're likely never gonna drop. Best to pray to RNGesus and hope for the best.
(Also, they said you can only get SP shards at lv 60. So that's why you're not seeing them.)