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Max is electrokinetic.When Darla signals for visual representation that she's having an idea after her song-and-dance number "Big And Loud", Max promptly holds an ordinary lightbulb over her head. The bulb (connected to nothing but his gloved fingers) lights. Later in the film, Max incapacitates Pudge the penguin by seizing him and rubbing him fiercely on his head, then sticking him to a metal beam with the static electricity. Normally, in cartoons, this works whenever both objects are suitably fuzzy; say, a Funny Afro, or a cat on a shag rug. But Max is bald◊. Both events are explained if it is assumed that Max can generate and control electricity. In a very cartoony, physics-bending way, of course.
Darla Dimple isn't actually a child.She only looks like one. Note her resemblance to Baby Doll, who is an adult actress with a rare condition that makes her look like a child even when she's an adult. She seems too smart, too vindictive to be a kid. (Or maybe this troper just can't handle hating a little girl. It makes her feel horrible.)
Max is Darla's fatherShe demands he call her Miss and be her bodyguard because...she's Darla.
Darla had Max kill her parents.She used the insurance money to rise to stardom.
Max is a shaved gorillaHe could only get work if he looked more human.
Max and King Kong are related but don't get alongIt's already established that King Kong exists in the story and is an actor. Based on the above theory about Max being a shaved gorila, it's possible that Kong and Max are related and Kong resents Max for abandoning their fellow animals for a better or at least steadier job than theirs.
Darla's parents were hunters.Based on one of the above theories, they took a baby gorila from Africa after killing the gorilla's parents, named him Max and conditioned him to serve Darla and pretend he's a human. It's possible Darla herself doesn't know Max isn't a real human.
Darla's parents don't love herThey only care about the money she used to bring and were happy to leave Max in charge of her upbringing. Once she destroyed her reputation, they fled the country and took as much Money as they could while Darla had to sell her mansion and get a job to pay her debts.
Darla is a witch and Max is her demonic summoned servantShe's also a lot older than she looks. She uses her magic to maintain her youth (which is critical to her darling little angel facade) and maintain a very subtle level of hypnosis over her audience, so they don't question why she likes the thought of everyone drowning enough to break character. However, she's not a very good witch, so her hypnosis failed when the people caught in it were given irrefutable evidence contradicting the illusion.