Factual error: Supposedly the live footage is filmed in the United States (she even greets the audience by saying 'Alright America do you believe in love' but they zoom out so far that you can't see her lips moving). In the United States Madonna was wearing the ponytail. In all the live footage she has curled hair. This means the show was actually filmed in Europe (according to the credits, it was in Paris). There are several references to the live footage being filmed in America, especially Like a Virgin in Toronto and Keep it Together (the technical problems) in Los Angeles, even though that footage was also filmed in Paris.
Madonna: I wouldn't live in Chicago cause it's too conservative, aside for the fact that Oprah Winfrey lives there.
Kevin Costner: Thanks for having us. It was really generous.
Madonna: Thanks for coming.
Kevin Costner: We thought it was "neat."
Kevin Costner: Really neat.
Madonna: No one's ever described it as that.
Kevin Costner: Have fun. We won't be making that other deal.
Madonna: Not neat enough for you?