Was it a one time performance? He gets introduced by an emcee in the beginning which makes me think it was, but was there not an A.T.W.I.A.D. tour? [Hint snip - luv4u]

27 October 1985

Prince shoots a video for "America" on a day off from filming in Nice ("Under the Cherry Moon" -dt). The Revolution, augmented by saxophone players Eric Leeds and Eddie Minnifield, were flown in for the session. Free tickets for the video shoot had been announced on local radio and 200 fans attended the session. Prince and the band enjoyed themselves so much that they gave the audience a mini-cocert after "America" was filmed, playing "paisley Park", "Delirous", "Little Red Corvette", and "Purple Rain".

The Vault, p.63

I see, that makes sense. So due to filming cherry moon there never was a tour for the album.

the "Purple Rain tour" had only ended on the 7th of April 1985. that same month Becky Johnson was assigned to develop a screenplay for "Under the Cherry Moon" and Prince started recording "Parade" on the 17th.