i carry my adv in a phone case on my belt. i've always done that from when it was a silver bullet (a flashlight case) - then Reos in my phone case and so on.
Never have i had to remove or hand over a device anywhere. When i've been in restaurants i might ask them if they allow vaping, but if they don't i don't vape.
The only time i was ever a bit worried was when i happened to already be at work early one morning, but an alarm tripped anyway and the local Texas police arrived with guns drawn.
Having anything on your hip is potentially dodgy then.
I'd be more worried about losing it, concerts are a pick-pocket's paradise!
T