It happens anywhere there is pyro shot off, I believe (Boo might drop in and say something to counter me, since maybe there's "cleaner" stuff on the market). I have been hit by burning debris at MK (standing near the Pirates) and at municipal fireworks displays, too. I think it's less common at MK because that display is much higher in the sky, so there is more time for the debris to drift before it reaches the ground.
"Don't stand downwind" is good advice in many aspects of life, and it certainly applies to IllumiNations, too.