For some users, MainStage will show a message that says "Some additional content is needed for this concert. Do you want to download it now?" even if you've already downloaded the content in the Sound Library and saved the concert.
Unfortunately, this popup in MainStage is buggy and you'll need to go into the MainStage Sound Library manually to make sure you have everything below downloaded, and then the popup should stop appearing when you open MainStage.
To do this, go into the menus and choose MainStage > Sound Library > Open Sound Library Manager:
From there, make sure you have everything installed that you see listed in the screenshot below:
Now the error message should not appear when you open a MainStage concert.