I've never seen Sade live, so I have no comparison point here. The shows seem to be nice, with nice arrangements and a nice stage show. In fact, "nice" is the most appropriate word that I can really say about the show. It's nice, innocuous and completely cuddly and non-threatening. I think I enjoyed the live CD more when I was envisioning the show rather than actually watching it.
Her backing band was competent and well tuned, supporting her every step of the way. I didn't get much of a feel for any of their abilities, other than their playing their parts well.
I grabbed this DVD for about $10. It's worth that price, but I don't think I would pay all that much more for it.