David uses the Beach Balls because of legal concerns. . . ping pong balls, tennis balls, etc. all offer potential "dangers" and if you use paper wads someone can get a paper cut and sue. . . we live in a sue happy nation with 1,001 ambulance chasing A**holes advertising 24-7.
Confetti of all things, is facing regulations that would prevent us from doing the Snow Storm in that the flakes would have to be the size of an American Half-Dollar. Don't laugh, Disney has been observing this particular safety item for years now, because some jerk got a piece of paper in their eye during a confetti fall and sued.
Yes, shows. . . especially big shows MUST HAVE performance insurance that covers them, the equipment, livestock and members of the public that come to the stage and in some cases, the entire audience. If you have a traveling show and happen to have exotic critters like Tigers & Bears. . . you must pay an addition (very big) chunk of change for insurance with the same holding true with pyro effects and to some limited level, Laser Lights (not as bad as it used to be). All of these things are why those that are fighting to get into the lime light fail -- unless you have a serious budget to work with, you just can't afford this kind of overhead; it's a pain in the hind-side.
The location itself usually has at least one or two people trained in basic First Aid and CPR type techniques. If the show has large animals chances are high that they will have a vet on hand who by law, has had human based medical training and thus, they too can help out.
More than not, you would need someone trained in basic First Aid for the sake of the performers NOT the audience help. I've seen Roy Horn backstage with swollen knees packed in Ice so he could get ready for the next show. Char Pendragon has been beat to hell and back more than a few times that I'm aware of. Then you have those of us that have gotten bit or claws by kitty kats, squeezed by large primates causing rib cracks & bruising, bit & clawed by parrots and a long list of other such injuries.
Magic can be dangerous, Big Magic IS Dangerous, period! So performers have to take safety measures for their own sake and that of the crew more than anything else.