As I understand, if you intend to play a song in front of 25,000 people, you need to own the rights. Back in 2015 Neil Young publicly complained about Trump about using his song "Keep on Rockin in the Free World." Trumps campaign politely said: "hey millionaire rock-star hypocrite, you sold them, and we have the right to use them."
You don't own the rights, you pay ASCAP or BMI for a license to play the music. And because of the personal nature of politics, these licenses almost always have an exemption for political campaigns. As for Neil Young, he did complain and Trump called him a hypocrite for it. But Trump has also never used that song in a political event since.