In Australia you have to pay to record the show.
A one off fee (1 recorded performance) is paid to APRA. This gives you the legal right to record and make copies.(number restrictions apply) They can only be sold to the performers. You can not sell your DVD comercially and you can not sell for commercial gain. By the way, Grand parent, Aunt and uncles are not permitted to porchase them.
Funny though, some families tend to lose them and re order.?
Copyright can be quite complicated. When the school purchases the written form of music, copyright fee is included in the sale. This gives you the right to change the written form into an audible form. Recording the show including the music transforms the audible form into an electronic form. The same applies to any copyright play/musical
Becareful - you can get into a lot of trouble - heavy fines and confiscation of equipment can result in ignorance.
Google - copyright for your neck of the world. Check the laws and permit requirements. Best to be safe than sorry.