Is security allowed to confiscate your equipment if they catch you? Or do they only take the media you recorded?
I guess this depends on the legislation in the country where you're taping.
In Sweden, if you're strictly looking at the law, they can't even confiscate your tape. Only police has the right to confiscate stuff that you keep on your body over here.
Security can only throw you out of the venue, nothing else. If someone who's not a police try to confiscate anything, it's considered "taking without owner's consent" (which is applicable to all private property over here):
http://en.wikipedia.org/wiki/TWOCThe problem is that most security guards don't know this, so you might end up in trouble even though the law is on your side.
And in the long run, it might be smart to please them and give the tape anyway, if you intend to see the rest of the show, or go back to the same venue again. YMMV...
/Jan