Mag I can't really answer your question. These guys are the best of the best but I did want to remind you that bands practice, and practice and practice before starting a tour. In fact they will practice whole sets pre-tour.
They have played these songs to the point of nausea by the time we see them. It's one of the reasons, beside their amazing talent for them to give off the appearance that it is so easy.
Just like an orchestra, they have been doing all the hard work behind the scenes and the concert is the showcase of that work.
While I agree that rehearsal and practice are the bread and butter of any competant professional musician, this fact does not address improvisation.
The best bands improvise quite a bit, both when soloing, and also in terms of dynamics, tempo, and ensemble playing. Virtuouso musicians do not have to think at all about "notes" when performing, indeed with a lot of music there is not time to think reflexively about what one is doing. I remember reading a great interview with John McLaughlin discussing his process of development as a musician: he basically said at first you learn everything there is about music and develop your technical ability to play anything "perfectly", and then, you have to forget it all and go forward from there...
I am not a musician, but I am an expert, previously sponsored snowboarder, and I think sports are also similar. When you are learning you do think about things, but once you have developed a level of mastery, you no longer think about things, the appropriate movements are programmed into you, and your mind is actually free to achieve a higher state of awareness and being, and this is where the full expression of your art comes into being.
I would be interested to hear what some classical musicians, who sight read and play, would have to say about this. I suspect that they sight read and play the notes without actually thinking about it.