Ok, so Messiah is a long sing, but that's not what they meant! It mystifies me why people don't recognize the adverb "along" when they write this phrase. "Along" is hardly an obscure word! The audience is singing along with the performers. In fact, you can even write "singalong" as one word (although admittedly it does look vaguely Malaysian), thus saving you the question of where to include hyphens at all. So your choices are:
Singalong Messiah or Sing-along Messiah.
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