When using a recording of a concert, there are actually several copyrights at play. Copyright law is interesting, so bare with me. First, there is the copyright that belongs to the composer of the music. This copyright covers the “musical composition” – think of it as the ‘musical notes on a piece of paper.” No matter who plays these notes or who records music using those notes, they would need to account to the composer.

Next, there is the copyright that belongs to the performer of the musical composition. Because every rendition of music can be considered a work of art in itself (taking those musical notes on a paper and transforming them into sound), the performer of the music composition is granted a copyright on their performance of the musical work.

Finally, there is the copyright of the actual recording of the performance. This is where the ‘record and production’ companies come in to play. They take music performances and produce them into something tangible, like a digital sound/video file (mp3, CD, music video, concert recording, etc.).
Sometimes, the music composer is also the performer and the recorded… but that is rare. If you obtain a copy of the recording, with permission from the recorder, you are only receiving ONE of the THREE copyrights you need to make a distribution or a derivative work therefrom. Firstly, you should make sure if the recorder of the performance had permission from the Performer of the work AND the Composer of the work to record the performance. If so, then you need to make sure that the Recorder had permission to not only record the performance of the musical composition, but to also Replicate and Distribute it to You.

Let’s say the Recorder does have a license to record and distribute from both the Performers and the Composers. Then, should you intend to produce derivative works of the performance or musical composition (ask, do you plan on changing the arrangement of the song?), then you need seperate permission from the composer of the work to change his musical composition!
But there is an exception

Educational Use – since you are making a documentary, the law may provide an exception know as “fair use”. If you are only going to be taking excerpts of the performance, and not playing the entire thing, and using it for educational purposes, then you might be able do so without obtaining permission from the composer/performances – ASSUMING that the recording of the work that you use was obtained with permission to begin with.

To rely on the “fair use” exception is a recipe for trouble, however… it is typically used as a defense once you are being accused of copyright infringement. I would recommend trying to locate all the parties (don’t worry to much about the Dancer) and tell them you are making a documentary under the fair-use exception and see how they react. In the documentary, you may be using photographs, background music, video excerpts, etc of Third Parties… you’d need to notify those third parties as well.

If you are interested in more detail related to your situation it is best to speak with an attorney.