Conversational Language Understanding (CLU) is probably not the right choice here. That's more for understanding the intent behind text, not just extracting specific entities like band names.
Custom named entity recognition seems like overkill for just identifying music band names. That would require a lot more work to set up. I'd go with the simpler option of key phrase extraction.
I'm a bit unsure about this one. Key phrase extraction or entity linking could both work, but I'm not sure which one would be the better fit. I'll need to think this through a bit more.
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