I always just go with the standard incandescent light settings (32k) built into the camera.
I mean, if they put up different colored lights later in the show then that’s what they WANT it to look like! I shouldn’t be fighting it since that’s what they want the stage to look like.
There are TWO exceptions to this rule that you should ask about ahead of time and ask to see and test out on camera:
1) SPOTLIGHTS
Many spotlights are sunlight balanced and will look very blue to the camera. If you can, you should switch to the “sunlight” setting on your camera since the spotlights don’ta look blue to the human eye so you should correct for them.
2) LOW LIGHTING
They may have “normal” lighting that looks white but is low thus it appears red on camera. I try to get a custom white balance ahead of time for shows like these too since they don’t look red to the audience.
But pretty much anything else is supposed to look colored so I just let it affect the video without worrying about it.