At best, most venues will only allow point and shoot style cameras. DSLR style cameras with removable lenses, or even cameras that have a large lens housing on the front, are generally not allowed for your standard concert goer. You're asking for a lot of professional grade features into a pocket sized device. Even though budget is no issue for you, you're probably not never ever going to find a device that's going to have all the things you've listed. If such a device was out there, we'd all be rocking it on our stealth missions. For what you are asking for, most of your expectations are unrealistic, especially for cramming them all into a pocket sized device. With that said, you'll need to do your homework to even remotely meet your expectations. This means everything from reading camera reviews, to learning tons of photo/video basics. Once you've settled on a camera, lots of practice and understanding how all of those manual controls work together and effect each other.
Audio is an entire other story. Even the best of cinematic cameras out there aren't designed to handle the sound pressure levels of concerts (and I'm assuming these are at minimum rock concerts) you're going to with their internal mics. For acoustic shows or classical/orchestral performances, there are probably some decent options out there.
You might take a look at Panasonic's Lumix, Sony's Cybershot, or even FujiFilm's FX10 series of cameras and see what you think of their body styles and your ability to get them into whatever venue. There are and infinite number of other things to learn about recording shows. Don't be afraid to ask questions. You might not always get the answer you hoped for, but we'll shoot straight. We're here because we love to document concerts, and if we can help you develop a love for it to it makes us a better community. Welcome aboard!