No she wasn't.
Those two shows you mentioned weren't exactly "albums" per se. The 2005 Milano recording results out of a then "official download" which you could buy back then. The song was on the set-list as it was the tour for the 2004 album release "Shangri-La" with the title track "Our Shangri-La". No Emmylou back then.
2006 MK and Emmylou released a duet album All The Roadrunning and toured together. The song reappeared on the set list of that tour. After this tour ended, they never performed together ever since.
There is an official live CD/DVD from that Duet tour called "Real Live Roadrunning" with the live version from your YouTube Clip on it.
2007 MK promoted his album Kill To Get Crimson with a special promo night concert in Berlin with a little promo band. This is no official album either but was a TV Broadcast.
LE