Dont listen to all these self-righteous people that dont even know what the hell they are talking about. You didnt help in any way with answering the origial question. It's not illegal to video a band without permission from the band or the club. You dont know. The types of bands that you are talking about most likely have no live videos out.
Most bands dont, popular or otherwise.
They can tell you not to bring them in, if they see them, but the worst real punishment they can enforce without taking you to court over it is to not allow you into the club.