This movie takes place in Chicago. When Emily and Henry are on the roof after the karaoke incident, the skyline is not of Chicago but of Vancouver, British Columbia, with some of the city's most iconic buildings seen, most notably the Hotel Vancouver. The Hotel Vancouver can again be seen in the next segment in the morning when Emily and Henry are walking at street level.
The Ohio University Marching 110 appears during the parade sequence through the use of a clip of the band from the 2000 Macy's Thanksgiving Day Parade.
The title Love at the Thanksgiving Day Parade was considered too long for the British television audience. In the United Kingdom, the movie aired as Love at the Parade.
The final memo Henry issued on the parade was clearly never meant to be read by viewers, as it appears to be a recycled technical memo regarding object oriented software development, making nonsensical statements like, "The Company's principal operating objective is to dominate the object oriented parade market." Also, financial information included in the memo is for dates that make no sense in relation to the film, as it references projections for the years 2012 - 2015 but provides supposed financial data for the years 2003 - 2007.
If you listen to the background music it reminds of the background music in the Matt Helm films of the 60s.