This is an extremely common issue in this game. For that show, you cannot leave the stage or else the show ends unfortunately. I recommend sending a ticket to glu to address this issue and ask if it's part of the gameplay or not. When this first came out, people said they were able to leave the stage, but lately it's not been the case. Sorry. :[
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Send ticket: http://ggnbb.glu.com/showthread.php?30540-Submitting-Tickets-for-Unresolved-Glitches-Issues