Oh, we know the standards: Jumbo Shrimp, Real Phony,Living Dead..... is peaceful demonstration in the list: reasons why/not are, of course unexpectedly anticipated.
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'Peaceful demonstration' is not an oxymoron. There is nothing inherent in the definition of 'demonstration' that suggests order or chaos--a demonstration can be either. Describing a demonstration as 'peaceful' sets that demonstration apart from one that is 'chaotic', or even 'riotous'.
Here are a few more adjectives that are commonly associated with 'demonstration' that delineate one type of demonstration from another:
ngrams.google.com produces this nice graphic demonstration that underscores my point.
Edit: Created a new graph that includes 'violent demonstration'
Peaceful Demonstration is only an oxymoron in repressive countries, where regardless of the intent of the demonstrators, the government shows up and initiates violence. Ordinarily[*] it is entirely possible to put your political opinions on display in a peaceful manner.
[*]: speaking from a modern, US-centric viewpoint; world history may make me a liar.
a public display of group feelings (usually of a political nature)
And Shrimp: any of various edible decapod crustaceans
Just because a person who is deemed shrimp sized is small, does not mean that a huge shrimp cannot be called jumbo...