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 on a horse. In addition, she claims she'll remain even as the world is breaking, 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 "glittering shadow parade" will keep going to the end no matter what occurs. Declaring a refusal, the girl decides not to be part of any "midnight games" that the visitor may desire. She believes that she resembles some beautiful women, and once embraced white hands with gentle warmth.
The song states how Madam Merry-Go-Round is able to love the dreams "for one night." It references a day that she was unable to keep a pledge that had been previously exchanged between two people. Afterwards, the song continues as Madam Merry-Go-Round repeats that Utopia can be seen and she will remain. She states that she will not bear a grudge even if she can't return to how she was.
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 "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.