Sennheiser - MKE 400

The Sennheiser MKE 400 might be what you're looking for. It's a light and compact "shotgun" mic that mounts to a cold shoe and plugs straight into the camera's 3.5mm mic jack. I say "shotgun" because this thing is barely directional. Not good for interviews, but I use it for live shows because it pretty much captures all the ambient sound and the small size doesn't get in the way. It won't be as good as more complicated options like recording from the sound board, but you will notice a giant improvement from using the camera's built-in mic.

I have both. Each have their uses. The sennheiser is good if you have multiple people talking in the vlog (2+) and you want more environment noise. DJI is great for basically the opposite. Have both if you can afford it, then switch. If you just want one then I recommend the Sennheiser as its more versatile because of being able to point it at the sound you want a lot easier

Unless you’re the official videographer and a gatekeeper has cleared/instructed that you get a direct feed to a recorder, I don’t think you’re getting a feed. And 3 feeds at that! But if you have that access, do it. Given the strength of a line or XLR feed, inexpensive used DR40/DR40X on each stage would do it. Then your camera audio is scratch only. If you’re made of money, a Zoom F3 and VXLR+ adapters on each stage can get you 32 bit float from either handoff type. // but let’s say it is just you and your camera. External mic, possibly separately mounted on you so that you can keep the same audio orientation when you move the camera. Modified chest or head mount. For music, do stereo. Nobody wants a flat mono performance. A mid-side mic is a neat trick as you can do stereo or mono by adjusting the side field width. If that’s not your thing, don’t use a traditional shotgun and don’t use an omni. Use a short pseudo-shotgun like a Sennheiser MKE400 which allows monitoring if you have headphones that can fight the ambient sound. The MKE440 model is stereo, and that’s the only one or method that I’ve mentioned that I haven’t done myself.

Sennheiser Dedicated audio brand for years longer than DJI and IMO sounds better

Have a look at the Sennheiser MKE 400... I find it great. Check some YT reviews.

What sort of treatment do you have on your mic? The foam windscreen should make a difference, the dead [insert animal here] covers generally do better. Granted, despite the label, the Rode consumer microphones aren't really true shotgun mics, but you have to add another zero at the end of the price tag to get something like a Sennheiser MKE that really does the job.