No, it's not vocaloid. It from a Japanese band called Sound Horizon. Read this and you'll know more [link] That cosplay is the main character in the 7th story Märchen (basically the 7th major album) But to say the truth,there are vocaloids that involve in the 7th album, which is Miku and a prototype one,Junger Marz. You really should try to listen to the album.It my favourite (though it is a bit dark XD)
No, it's a Japanese rock opera. I know, since i have the actual album right next to me. There's no musical, but there IS a concert, and that's probbaly what you're thinking of. (I can someone see why you'd confuse the two, though, since it LOOKS like a musical when you've only watched the trailer. But Ican ssure you, it's a concert)
He's not a Vocaloid either. While the single Ido e Itaru Mori e Itaru Ido and the albume Marchen (what makes up the rock opera) may have used Hastune Miku and a prototype Vocaloid's voices, Marchen himself is not a Vocaloid.
... But it's still not a musical. A musical is a play or film with musical numbers. The Marchen live is neither a play nor afilm, and it is pretty much ENTIRELY musical numbers. Not only that, but it's stated in the title of the live itself it's a concert (Something along the lines of "7th Story Concert Marchen~Kimi ga ima waratte iru, mabayui sono jidai ni~" if you want to be exact). I can understand how someone would think it's a musical, since the music makes up one big rock opera, everyone's in costume, there's spoken word in the music, and the have actual props and scenary, but it's not a musical.
And then if you get distracted by the live concerts you'll miss what it really is when you get down to it: A rock opera divided into the Prologue Maxi Single Ido e Itaru Mori e Itaru Ido and 7th Story Album Marchen. The concert is not 100% canon, none of Sound Horizon's concerts are, His Majesty Revo said so himself. It's just there because it's fun. And, well, if His Majesty Heika wants a Marchen concert, he's going to get one.
I know what a musical is. The thing is, the Marchen live is NOT a musical. In fact, going by your logic, all of Sound Horizon's live performances would be considered musicals, even the live tours, which consist of various songs put together in a random way with no real plot the way the proper arrangement found on the actual albums. Yeah, Sound Horizon has those three things in their lives, but that doesn't mean the lives are musicals. I've seen a few musicals myself (Recorded, yes, but that still counts), and actual musicals are basically plays with musical parts. Sound Horizon's live performances only have the music half. So while they may have music, dancing, and acting, they are not plays and would not count as musicals. They are LIKE plays and musicals, yes. But just because Sound Horizon's concerts have the three things you say are needed to make a musical doesn't automatically make their releases musicals. It's just that the type of music they make requires acting because it's needed to tell the story, and the dancing is there because, well, it's a concert. Finally, the band just happens to be the type that goes the extra mile with everything if His Majesty wants it.
In the end it all comes down to the fact that Revo wants to tell a story through his music, and if he feels an awesome concert that people will mistake for a musical is needed, then so be it.