According to the manufacturers the chemical has to be "continually sprayed" in indoor areas which would seem to mean that audiences would be continuously breathing the chemical throughout a performance. It would be one thing for a theater to be fogged with the chemical between performances when the theater is empty but I don't think many audiences would be interested in continually breathing whatever this stuff is.
The health effects of triethylene glycol was of great concern with Actor's Equity in the 90's because it is (was?) used in many theatrical smoke machines on Broadway. Report is linked below.
