Answer:
Parapsychology is a study of the paranormal through the use of the scientific method. Its "rightness" or "wrongness" is a matter of perspective.
If you believe that the paranormal is something that should be taken as a matter of faith rather than scientifically proven, it's wrong (and indeed, offensive - ask a Christian how they'd feel about a concentrated effort to prove or disprove their God's existence through science).
If you believe that the paranormal is something that can not be measured scientifically, then it's wrong-headed - not wrong in the moral sense, but based on what you believe is a logical fallacy (like for example, trying to hear the words in a silent movie). In this case, I'd recommend being amused and moving on - if they do find evidence and you've spoken out about that being impossible, you mildly humiliate yourself.
If you do not believe in the paranormal, relax and move on. You think they're trying to find something that doesn't exist, but there's no harm in it (though I admit the money used in parapsychological experimentation might be better applied elsewhere), so leave them be. Again, this avoids the mild humiliation of being publically wrong.