Did they both wake up at the same time and see it together, or did one see it one night and the other on a different night?
Also, did they happen to see what time it was when this happened?
Generally demons, if seen, come in the form or a dark cloaked figure.
However, waving seems more like a friendly gesture, not expected of a demon.
Demons would often begin the possession process with psychic attacks, through nightmares or often waking their victims in the middle of the night (normally around 3:00). However this would only be reoccurring to 1, not both parents.
Sleep visitation from a benevolent spirit or deceased person usually occurs in a dream state and they would normally take a recognizable form.
However when one abruptly wakes up their mind may not be properly tuned to the physical frequency (we sometimes change frequencies during sleep). It may take a few seconds for the mind to adjust; but within that window of time, one can catch glimpses of outerdimensional entities.