You guys...
https://www.youtube.com/watch?v=yDvMPaspKds
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You guys...
https://www.youtube.com/watch?v=yDvMPaspKds
Have you tried contacting the venue and asking if they have a place you can secure your gun at the venue (like security' office) and get it on the way back out? It's a long shot but some places do have that if they don't "allow" guns in their venue. If not just lock it up in your car if you're comfortable with that.
Cars get stolen.
Hard to say given the lack of details, but if this is along the popular Delaware Ave/Columbus Blvd waterfront, I wouldn't worry too much. But as others put it, crime rates can increase quite a bit as you wander off.
This site is pretty useful: https://www.phillypolice.com/crime-maps-stats/
Actually many police depts have interactive maps like this. But in any case, you can use this to make your own decisions. For instance, theft may be the main threat where you are, etc, etc.