Immersive Virtual Musical Instruments (IVMIs) lie at the intersection between Music Technology and Virtual Reality. Being both Digital Musical Instruments (DMIs) and elements of Virtual Environments (VEs), IVMIs have the potential to transport the musician into a world of imagination and unprecedented musical expression. But when the final aim is to perform live on stage, the employment of these technologies is anything but straightforward, for sharing the virtual musical experience with the audience gets quite arduous. In this chapter, we assess in detail the several technical and conceptual challenges linked to the composition of IVMI performances on stage, i.e., their scenography, providing a new critical perspective on IVMI performance and design. We first propose a set of dimensions meant to analyse IVMI scenographies, as well as to evaluate their compatibility with different instrument metaphors and performance rationales. Such dimensions are built from the specifics and constraints of DMIs and VEs; they include the level of immersion of musicians and spectators, and provide an insight into the interaction techniques afforded by 3D user interfaces in the context of musical expression. We then analyse a number of existing IVMIs and stage setups, and finally suggest new ones, with the aim to facilitate the design of future immersive performances.