Your brother is putting his children in the middle of something that he shouldn’t — and hasn’t dealt adequately with. While your concern is understandable, your brother is the one that has to take control of the situation by dealing more directly with his marriage. Going to a concert with your daughters with a female friend while still being married is setting the daughters and their mother up for a collision — not good.
The key element here is your concern and over-involvement over your brother’s marriage, his friendships and his relationships with his daughters. Do not take this on as something you have to fix.