No playing together? 
Yes, they played together.
This from Bob Links:
1. I'll Be Your Baby Tonight
(Bob on keyboard, Donnie on pedal steel, Stu on acoustic guitar)
2. To Ramona (Bob on grand piano and harp, Donnie on electric mandolin,
Stu on acoustic guitar, Tony on standup bass, Mark Knopfler on guitar)
3. Things Have Changed (Bob center stage with harp, Donnie on pedal steel,
Stu on acoustic guitar, Mark Knopfler on guitar)
4. Tangled Up In Blue (Bob center stage with harp then on grand piano,
Donnie on pedal steel, Stu on acoustic guitar, Mark Knopfler on guitar)
5. Early Roman Kings
(Bob on grand piano, Donnie on lap steel, Tony on standup bass)
6. Chimes Of Freedom
(Bob on grand piano, Donnie on pedal steel, Stu on acoustic guitar)
7. Summer Days (Bob on grand piano, Donnie on pedal steel, Tony on standup bass)
8. A Hard Rain's A-Gonna Fall (Bob on grand piano,
Donnie on electric mandolin, Stu on acoustic guitar, Tony on standup bass)
9. Highway 61 Revisited (Bob on grand piano, Donnie on lap steel)
10. Soon After Midnight
(Bob on grand piano, Donnie on pedal steel, Stu on acoustic guitar, Tony on standup bass)
11. Thunder On The Mountain (Bob on grand piano, Donnie on lap steel)
12. Ballad Of A Thin Man (Bob center stage with harp, Donnie on lap steel)
13. Like A Rolling Stone (Bob on grand paino, Donnie on pedal steel)
14. All Along The Watchtower (Bob on grand piano, Donnie on lap steel)
(encore)
15. Blowin' In The Wind
(Bob on grand piano then center stage with harp, Donnie on violin, Stu on acoustic guitar)
