IIRC posted no carry, but not necessarily "conspicuously at all entrances" as required by law. Depending on the show they may or may not have security doing pat-downs; that usually depends on the production/touring company.
As far as restaurants, it really depends on what you're looking for. Tons of options within walking distance on Old World 3rd or Plankington. I usually park near the Journal Sentinel building or in the lot by Turner Hall (which is usually pretty cheap), grab a liter at Old German Beer Hall, then hit up Mo's Irish Pub for food. Point Burger Bar is right next to the Turner Hall parking but I was unimpressed even though they have a great reputation. Plenty of other sit-down places.
There are also options where they closed off the street by the gigantic burrito building (whatever they call what used to be the Bradley Center), it is some completely forgettable name of a finance company or something) but nothing I can recommend from experience.