A fun project! And one I'm trying to do for my kids.

One thing that worries me a little about trying to tell parables about these sorts of concepts is that, outside mathematical formalism, most real-world examples are not clear cut. Most fallacies, for instance, have versions that are useful real-world heuristics. Take post hoc ergo propter hoc. It is indeed strictly a fallacy to deduce that and event was caused by the event that immediately preceded it. But "What did you do differently just before it broke?" can be a really useful diagnostic question. And most of the time when you're a small kid, an adult pulling an appeal to authority on you really does know better than you do.

I'd worry less about trying to introduce abstract concepts to small kids and do more modelling/engaging/reinforcing of general curiosity, questioning, reasoning, and trying to figure things out for yourself. If they get that, they'll be able to pick up the abstract concepts for themselves, whether you are an effective teacher of them or not.

Kids seem remarkably immune - or even resistant - to adopting explicit 'morals' from stories (I know I was, and my own kids seem similar). But they do soak up general approaches and underlying values.

The best moments are when the kids ask about something. But for me it's often a fine balance between giving them the immediate answer (satisfying their curiosity and rewarding asking), and using it as an opportunity to build their ability to work things out for themselves.