They may not have the comedy tag, but for the most part these are still light hearted, or in some way describable as parody. Only the Devil May Cry one is in any way dramatic, and that one is so specific with it's reference it deserves the tag.
I wouldn't say it has to be funny or light hearted to warrant being a parody.
It's pretty much a blatant imitation of Liar Game for the Gensokyo world.
Who's to say that one can't get a chuckle out of that situation (probably assuming they're familiar with Liar Game already) despite the series being serious?
I suppose so, but it seems more of a..i cant think of a word. Homage maybe? Tribute? Parody tends to be used for stuff like Naked Gun rather than stuff like The Lion King (which is based on Hamlet), so I dunno.