They are not protected. That is the common misconception.
There is no such thing as "protection" against copyright infringement cases. There are affirmative defenses which can be made in a legal setting - but if an IP holder decides to make a claim of infringement, simply saying "its a porn parody" does not stop the action. It still requires legal decisions which a respondent would need to show that their work transforms the original in such a way that it does not infringe on the rights of the IP holder (parody, education, or similar possible defense). That requires legal counsel, discovery, depositions, and the like should the IP decide to take the respondent through the full steps should the respondent fail to cease and desist in their actions.
Most respondents cannot afford legal counsel and all the fees that go with defending their claims and typically cease their work when challenged by IP holders.