In the book `elements of finite model theory' by Libkin. They prove that the parity query is not first order definable on finite structures over empty signatures by using the compactness theorem.
They do so as follows: let $\lambda_n$ by the sentence that is true if and only if the universe has at least $n$ elements. Furthermore, assume for the sake of contradiction that $\varphi$ expresses the parity query.
Now let $A = \{\varphi\} \cup \{\lambda_n \mid n \in \mathbb{N}\}$ and $B = \{\neg\varphi\} \cup \{\lambda_n \mid n \in \mathbb{N}\}$. Clearly every finite subset of $A$ and $B$ have a model, so by the compactness theorem $A$ and $B$ have models, which clearly have to be infinite.
If we now apply the Löwenheim–Skolem theorem, we can assume that there exists countable models $\mathcal{A}$ and $\mathcal{B}$ such that $\mathcal{A} \models A$ and $\mathcal{B} \models {B}$. However, since the signature is empty, $\mathcal{A}$ and $\mathcal{B}$ are just countable sets, and hence are isomorphic. This however contradicts the fact that $\mathcal{A} \models \varphi$ and $\mathcal{B} \models \neg\varphi$, and hence the parity query is not first order definable.
Now my question: how does this prove that the parity query is not expressible on finite structures, since the proof establishes a contradiction using infinite models. Is it because the parity query only makes sense on finite models?