Both are applicable, although there will be slightly different connotations.
Have you ever seen Amy Winehouse in concert?
Once you have, you always have seen her. "Have you ever eaten sushi?" The eating might be long ago, the sushi might be long gone, but either you have or you haven't.
Did you see ___ in concert?
If you opened a conversation this way, and especially if the artist were currently performing, I might assume that you're talking about a specific concert in the recent past, much like "Did you catch last night's episode of The Great British Baking Show?" Since the simple past tense is more "located" in time, this use carries a hint of that implication, while the present perfect is asking about your present condition based on an undetermined past.
Mind you, the context could still make it clear. "Amy Winehouse was amazing in concert. Of course, no one can experience that live any more. Did you see her in concert?" ... would be understood to be general in scope.