As far as I know there's no generic name for Nazi parades, (although I have to add that my German is on par with my ability to deal with reality). But the grande dame of Nazi parade footage comes from "Triumph des Willens" - Leni Riefenstahl's masterpiece documentary/propaganda film of the sixth Nazi Party Congress.

The Nazis didn't have those open-close flag-book things that the crowd flips to make giant patterns though. Now we know why they lost the war.