A friend asked me to shoot his wedding and wanted to use a couple of popular pieces of contemporary music in the DVD. I explained to him that it's very illegal to use unreleased music in any sort of production.
His response was he see's many videographers advertising they'll use "your favorite song" in their wedding DVD.
Seems like those companies are wandering around under a very large anvil that will at some point in time drop a large music rihts lawsuit on them.
It could be just as illegal, but I am not a lawyer, so take it for what it's worth.
If the song is being performed, the venue or performer needs to have a license to perform it. Most commercial institutions have a blanket license, that is based on their capacity. I would assume most other venues would have something similar.
If you mic up the performance or tap into the PA source for your audio, you are functionally going to be recording the performance.
If it would come from your on camera mic, then it would be part of the ambient, and not probably considered illegal as long as the clip that includes the song, isn't of the performance or just the length of the performance.