You definitely should not have any safety issues going to la Casa de los Mejia Godoy. I take cabs daily, always using precaution, and have never had a problem. If you arrange a cab through your hotel and get the cabbie's number to call for a pick up your chances of a problem are almost nill, at least in terms of taxi drivers and their buddies robbing passengers.
The following website usually lists the musicians playing at la Casa de los Mejia Godoy, as well as much of the other musical and cultural events in Managua and some in other cities:
http://www.vianica.com/thisweek.php?dep=10&type=0&m=0&Submit=Cambiar
If the Mejia Godoy brothers aren't playing, whoever else is should be a good show, as they get the top Nica artists (usually with a testimonial, trova, typical, etc style). Another good place for music is Ruta Maya, not too far from la Casa de los Mejia Godoy. They also have food. There are also a lot of places to go out much closer to your hostel and in safer areas, though I can't think of any typical music venues in los robles/reparto san juan/zona hipa/altamira. Asados el Gueguense (Altamira, 5 min south of your hotel in a taxi) has great live music, not as famous as la Casa de los Mejia Godoy, but very enjoyable and really delicious food.
Have fun, be safe and don't be too worried... 1.5 million people (including a decent amount of foreigners, and a lot more less well off people without the resources to take cabs at night) live in Managua and most of them survive each night. (I know the tone of the poster was not of fear, but I think it should be stated that Managua is not so bad!)