Why is parallelism not good in this query?

I was looking for missing indexes in the cached execution plans then I found a very nice article by Jonathan Kehayias:

Finding Key Lookups inside the Plan Cache

and from there I borrowed the following script:

SET TRANSACTION ISOLATION LEVEL READ UNCOMMITTED;
--IF OBJECT_ID('TEMPDB..#MissingIndexInfo') IS NOT NULL
--   DROP TABLE #MissingIndexInfo;

WITH XMLNAMESPACES
   (DEFAULT 'http://schemas.microsoft.com/sqlserver/2004/07/showplan')
SELECT
    n.value('(@StatementText)[1]', 'VARCHAR(4000)') AS sql_text,
    n.query('.'),
    i.value('(@PhysicalOp)[1]', 'VARCHAR(128)') AS PhysicalOp,
    i.value('(./IndexScan/Object/@Database)[1]', 'VARCHAR(128)') AS DatabaseName,
    i.value('(./IndexScan/Object/@Schema)[1]', 'VARCHAR(128)') AS SchemaName,
    i.value('(./IndexScan/Object/@Table)[1]', 'VARCHAR(128)') AS TableName,
    i.value('(./IndexScan/Object/@Index)[1]', 'VARCHAR(128)') as IndexName,
    i.query('.'),
    STUFF((SELECT DISTINCT ', ' + cg.value('(@Column)[1]', 'VARCHAR(128)')
       FROM i.nodes('./OutputList/ColumnReference') AS t(cg)
       FOR  XML PATH('')),1,2,'') AS output_columns,
    STUFF((SELECT DISTINCT ', ' + cg.value('(@Column)[1]', 'VARCHAR(128)')
       FROM i.nodes('./IndexScan/SeekPredicates/SeekPredicateNew//ColumnReference') AS t(cg)
       FOR  XML PATH('')),1,2,'') AS seek_columns,
    i.value('(./IndexScan/Predicate/ScalarOperator/@ScalarString)[1]', 'VARCHAR(4000)') as Predicate,
    cp.usecounts,
    query_plan
FROM (  SELECT plan_handle, query_plan
        FROM (  SELECT DISTINCT plan_handle
                FROM sys.dm_exec_query_stats WITH(NOLOCK)) AS qs
        OUTER APPLY sys.dm_exec_query_plan(qs.plan_handle) tp
      ) as tab (plan_handle, query_plan)
INNER JOIN sys.dm_exec_cached_plans AS cp 
    ON tab.plan_handle = cp.plan_handle
CROSS APPLY query_plan.nodes('/ShowPlanXML/BatchSequence/Batch/Statements/*') AS q(n)
CROSS APPLY n.nodes('.//RelOp[IndexScan[@Lookup="1"] and IndexScan/Object[@Schema!="[sys]"]]') as s(i)
OPTION(RECOMPILE, MAXDOP 1);

I noticed the MAXDOP 1 but I am not sure as how it can improve the performance of the query.

It doesn’t, generally. It’s there because XML queries are misery made by the devil hisself, and Jonathan is attempting to not cause observer overhead on your server.

As an alternative, sp_BlitzCache will warn you about expensive key lookups only.