Some Costco locations do allow overnight parking of your RV while some do not and all depends on the location of the Costco store.
If the Costco store does not allow overnight parking then they'll usually be a sign posted in the parking lot somewhere or near the entrance of the parking lot staying that parking overnight is not allowed.
But most Costco stores do allow people to park their RV's in the Costco parking lot because Costco is closed overnight after 8:30 PM on weekdays and a littler later on weekends.
If you do park overnight in a Costco Parking lot and it's not allowed in those areas then all that will likely happen is a cop pulls up and knocks on your RV door and they'll ask you to leave.
If the cop does ask you to leave then just obey and leave peaceful and find another area to park but I've never had problems parking my RV in most Walmart Parking lots or Costco Parking Lots overnight.