I'm not certain.
However, I'd say that band names function in a similar fashion to sports teams. If I were writing about the Utah Jazz, I would say "The Jazz
are playing tonight." Using that construction I could stay consistent when I replaced "The Jazz" with the pronoun
they or compared them to their opponent: "They are playing the Seattle Sonics; The Sonics are plagued by injuries and fears of a dreary future in Oklahoma City...." Likewise, I might say "Coldplay are putting on a show tonight. They will perform several songs from their latest release
X&Z."
That's my two cents....
-Andrew