Parallax isn't about focus, it about the relative movement of the reticle to the target due to position of the eye. When parallax is set at the same distance as the target, there will be no movement of the reticle against the target, even while moving your eye/head around. The opposite is also true, when parallax is significantly different the reticle will roam all over the show (if your head/eye moves) and could cause a miss.
A good cheek weld negates the worst of the effect.
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