They film it coming down Main Street from the castle to Town Square. It's an all day thing, the parade does not just come by like normal and that's it. They start and stop, refilm things, send one float at a time down the street.
When we saw it taped in 2001, it was on a Thursday and the park was not crowded. There was little advance notice that time, so alot of people probably did not know about it.