According to Buzzfeed:Why were they shocked? Let the video tell the story:
The Prancing Elites, an all-male gay cheerleading squad from Mobile, Alabama, danced in a Christmas parade a few miles west in the small town of Semmes last weekend. Townsfolk, however, were appalled, apparently not knowing that The Prancing Elites were planned for the parade.
Hat tip to Rod 2.0 Beta