There is always a degree of error with parallax, if in theory you have your parallax set at 250 yards it is really not at 250 yards all the time, weather conditions and other factors can change parallax quite a bit.
Yep, air density can change quite a bit from day to day--which is why I check apparent parallax every time I test-fire rifles at the range. There are other reasons as well, but that's one few shooters understand.
But magnification REALLY accentuates parallax problems. The absolute worst parallax I've seen in any higher-grade factory scope was in a 5-15x Zeiss almost 20 years ago. This was a new model, apparently made primarily for the American market, with NO parallax adjustment of any sort.
It was on a custom .22-250 I'd been invited to try on a prairie dog shoot. The rifle shot very well during sight-in at 100 yards, but in the field, on any shot beyond about 250 yards (where I generally had it on 15x) it had me talking to myself. Finally checked the parallax at 400 yards, and found it was 12-15 inches.... Apparently Zeiss decided to go back to the drawing board on that one, because I never saw it in any catalog.
