The difference between 'ni(に)' and 'e(へ)'.
Originally 'ni' indicates place, and 'e' indicates direction.
In most of the cases, these two particles are interchangeable.
ex) Tokyo ni(e) yuku. Gakko ni(e) yuku.
But if the obgect is not a place, but some action. Only 'ni' is used.
Benkyo ni yuku. Renshu ni yuku.
I think 'Konsaato e iku' is a grey zone expression.
Some Japanese may not feel any problem, and some may feel strange.
I feel strange a little bit, because concert is not a place, it's an activity.