Better question is 'do they have metal detectors'?
I'm not usually in the 'concealed means concealed' group, but if I were going to mahalia jackson I would be!
My wife has asked about going to one or two things there, I've said no, not worth it. Ammo is expensive!
I've never noticed any signs and never been searched upon entry. I will say that there is usuall a heavy police presence at major events there. As long as you park in the lots right there and stay with the crowd, you should be OK.