Not sure if you are still struggling with this issue or not - but perhaps this will help... I think perhaps the activity feed isn't exactly what you think it is. It seems that it isn't a feed of all the activity on the band's facebook page, rather, it is all the facebook activity generated from the domain. So, if you don't have a way for users to interact with facebook from your site than it won't generate any data.
EDIT
Perhaps the facebook like box would work better:
http://developers.facebook.com/docs/reference/plugins/like-box/