Have been on 11 Disney cruises since 2005, with embarkations in Port Canaveral, LA, San Juan, Venice, Barcelona. I have had a scanner with me every time and have never had one taken from me. Most were with an Icom R3, while the last few have been with an HP1.
I also took one on board the NCL Breakaway last year in NYC.
I don't seem to have any issues getting one in MSG either for NYR hockey games.
One of the more interesting things I heard was at a concert..... All the wireless feeds and the drummer's own click track were all able to be heard..