You certainly don't lose copyright protection of a photo you took because you were told not to do so. You just risk being thrown out of the venue or other legal trouble.
A music performance in front of an audience is audiovisual. You would be right if we were talking about a photograph of a radio taken while the performance was broadcast, but we're not. Indeed, when people mention they attended a concert, they say things like 'I went to see my favorite band last week,' as opposed to saying they went to listen to them.
wikimedia itself observes that shoting without a permit may put you in breach of a contract you signed when you purchased the ticket, as I alluded to above:
For sure, but that by itself doesn't provide a full defense (per http://www.copyright.gov/fls/fl102.html). Bear in mind that if the ticket contractually forbids photography and the event is not in a publicly accessible venue, the issue might well be decided under contract rather than copyright law.
