Actually, there is no categories applies to this menu item. Maybe that is the problem. It seems that it defaults to Featured Band Events even though that category no longer exists. Must be some kind of bug.

If I apply some other category, the links from New Show Pro now go to articles/list-all-categories which seems ok since these articles are not attached to any menu item yet.

Hopefully the problem is solved. Thank you so far!

A short general question: Should the original Joomla content be deleted after succesful import to K2? (After a backup of course).

Of course. Make sure that you don't have a reference anywhere to your joomla content. That would include modules as well.