COLUMBIA, S.C.—Some people say that music is the soul of dance. The live orchestra of Shen Yun Performing Arts had theatergoers Ricky and April Richardson mesmerized through the whole performance. “Music has always been that window that can bring you up or can bring you down, make you remember, or make you forget,” Ms. Richardson said. “It was beautiful,” she said of Shen Yun. “The music was impeccable. I can’t believe that it wasn’t just a soundtrack playing, that we were actually watching real musicians play, because they didn’t miss a beat.” New York-based Shen Yun features its own orchestra that cleverly combines traditional Chinese instruments like the pipa and erhu with a classical western orchestra. “The music was almost haunting. You could hear it, you could feel it making you want to move, or feel it making you want to think or reflect on things going on in your …