There is debate over CCW at a parade but it was explained to us in detail at my CCW class taught by one of the longest running instructors in the state that the statute only applies to permit holders IN the parade. It is OK to carry AT a parade.
Can't help with the rest of the topic but the Sheriff can generally do whatever he wants and just lock you up for 24 hours if you don't comply. Charges may not stick but you'll be in jail and have an arrest you have to account for in future background checks. So it's best not to confront them over it.