Parody is in theory a defense against trademark and copyright infringement, but it is one in which the burden is generally on the infringer, and it is never so clear as to be absolute. The costumes look enough like the cartoon characters, that a case could clearly be made for infringement of the design copyright through creation of a derivative work. It would be difficult to argue that a copy would constitute parody if it is hanging in a closet in the wardrobe department, even though it was intended to be worn in a parody performance.
Parody is much less useful in a defense against claims of tarnishment of the brand. McDonald's spends huge amounts of money presenting itself as a place suitable to bring children, and the characters being portrayed are specifically designed for that appeal. Many adults who do not find McDonald's menu objectionable might find the association with the devil's music injurious to that image, and many children (the targets of the whole hamburgler exercise) might actually be confused.
Libel is a different issue altogether.
In any event, I find it hard to believe that a band with so little going for it that it needs this gimmick is going to have the financial resources to fight a serious legal attack by a monster corporation's legal department. Their best hope is that McDonald's would avoid taking action to keep from raising the profile of the issue higher in the public view. To that extent, they remain safe only so long as no one notices them, which is not the goal of most commercial music enterprises.
http://www.lfiplaw.com/articles/trademark_parody.htm