I very much doubt that's correct even for your country. Clearly it's not legal to use someone else's copyrighted work for derivations, but it doesn't grant the original copyright holder a right to your (illegal) works either. You will simply be forbidden to use your unlicensed creations for anything (depending on the local laws, for example considering the parodies you mentioned). However, it's evident that the original copyright holder is in a good position to exploit an illegal creator's work with practical impunity, as a pirate is unlikely to try to sue anybody...
Take for example doujinshi using existing manga/anime works. They are mostly unlicensed derivations of original works but the Japanese companies have largely ignored them for their own reasons. However, if some media house suddenly decided to enter the porn market, they by no means could just collect all the related doujin by myriad artists and publish volumes under their own name.