In an unspecified place, the titular Madam Merry-Go-Round greets the visitor to a happy land that will "undo the chains" binding them. She offers up the Ferris wheel and haunted house and her own services, for the attractions, and if the visitor is tired of playing they can stay in the "cold cradle." Madam Merry-Go-Round asserts that Utopia can be seen from on top of a wooden horse. In addition, she claims she'll remain even as the world is destroyed, and invites the visitor to forget everything.
According to Madam Merry-Go-Round, to ensure her ability to grant someone's wish, they need to get in line. She also remarks on how the "shining shadow parade" will keep going to the end through thick and thin. Referring to the midnight games, she proclaims it is the visitor's desire, not her's. She believes that her beauty resembles someone, and once embraced gentle warmth with white hands.
The song states how even if the visitor is in love, the dream will only last for one night. It references a vow between two people that wasn't kept that day, the song continues as Madam Merry-Go-Round repeats that Utopia can be seen and she will be here. She asks that even if the visitor can't return home, that they don't blame her.
Red Shoe Parade is the song that is suggested to be played as the theater inhabitants march to Utopia; the "Shadow Parade," the song's English name, receiving a reference in Madam Merry-Go-Round itself.
The song's title is derived from its central character, Madam Merry-Go-Round, with the carousel likely representing the endless "fun" she supplies to her visitors; it may also refer to her promise of "going nowhere" as her situation keeps her in a continuous loop.
The song's English title, "U-topos", is a reference to the founder king of Thomas More's Utopia, reflecting her role as "Queen".
The Evils Court booklet lists the song as being discussed on a whim for the Evil's Theater inhabitants' amusement, with the "court case" determining the dream's accuracy was "questionable" although it was a possible outcome.
Later in the booklet, Gammon Octo is revealed to have dreamt of the Master of the Court after she realized the "utopia" she sought but was largely ignored by the theater inhabitants when he presented the issue, though Ma appeared visibly displeased.
The "Shadow Parade" is referenced in Red Shoe Parade, explaining its possible origin in relation to the Director Doll.