It's a good question actually. I have heard people say that this state or that has "something like that" or did at one time, but not that I can verify.
I mean, obviously, almost every city in every state still has a parade. But unlike most other places, in So Cal the SCSBOA not only judges band reviews, but judges a huge percentage of hometown parades too. (or used to). So even if you go to the Duarte Route 66 Parade or the San Juan Capistrano Swallows Day parade or whatever you will get competent judging...albeit with a reduced panel.
The question is when did someone say, "Hey, lets have a parade with nothing but bands!" Perhaps VORE would know, although the All Western Band Review predates even his vast amount of years.
Also interesting to note that in it's early years the All Western had a huge number of non public school bands. IE, college bands, youth bands, even military bands I believe. And the question is, why here and no where else? I mean, you could guess because of the weather, but the weather isn't any better on the football field than it is on the street.
Many years ago I took my LPO band to the Citrus Bowl Parade in Florida, and several other directors asked me "how do you get your band to take parades seriously?" To them, because competition started and ended on the football field, doing a parade was a joke, a chore, and that attitude was passed on to the kids. I saw the same thing in our many trips to the Victoria Days Parade in Victoria BC, Canada. Even though it was a competition (though I have NO idea who judged it)...
Perhaps that is also a factor....that when a parade has competent judging with a meaningful judges sheet, it becomes meaningful. Otherwise, you show up and somebody from the Chamber of Commerce says, "Oh, I like the baton twirler, they get 1st place!" and you think, why bother? I know at our hometown parade they started to award 1st place on a rotation because "it wasn't fair LPO won it every year." Interestingly enough though, after they did that other HS's stopped showing up.
JS