Everybody is doing the most, I see...
Security can deny entrance to anybody they deem a threat. It's not like they'll just be able to waltz in because they bought tickets. If there's anything even remotely suspicious about somebody, they're not being let in. Precautions will be taken. Security will be enhanced. There is a ridiculous amount of security in concerts like these, even when no threats are being made. There will be plenty of protection for Gaga, her dancers and her fans. Anal cavity searches will probably be given, like, really.
Nobody is going to get hurt. She shouldn't cancel the concert, because that would be letting them win. Nothing is going to happen. Everybody will be fine.