Can you call MSG and ask them about the camera policy? Most places that prohibit them will take the camera away and you will never see it again. Also if you are lucky enough to sneak it inside, if security sees you using it, you could get kicked out along with your camera taken away. Try to find out to be on the safe side. You could also check their website.
Well, I found the phone number to call---
General MSG Info - 212.465.MSG1 (6741)
But here is the info about cameras.
Cameras
Video cameras, monopods, tripods, audio recording devices and cameras with telephoto or zoom lenses are not permitted insideMadison Square Garden at any time. This policy will be strictlyenforced. You may bring in a disposable or 35mm camera (with no zoom or telephoto lens), however, for some events, cameras of any type and/or flash photography may beprohibited.
So it looks like your G9 isn't allowed since it has a zoom. So you'd better call and see if any camera is allowed for the Jonas Brothers. Maybe you'd be better off buying a program with pictures. I wouldn't take a chance with a G9.