They are different experiences and both are worthy, they complement each other perfectly. The tango show is like going to see a play at the theater (you’ll enjoy the orchestra, the dancers, the costumes), plus you can have dinner there and the food of excellent quality. Another day you can schedule a visit to a “milonga”, where the locals dance tango, they are different milongas running on different days of the week so you need to make a little research there. In a milonga, you’ll see regular people dancing tango, have dinner (nothing too fancy) or a drink, dance with locals and other foreigners and even take a class if you want!