I do not remember which concert was the first I saw on TV.
BUT - the first (and only) concert I saw live was HIStory Tour in Denmark, Copenhagen on his birthday. August 29th 1997. - I was only 10 back then, but I had been a MJ fan for many years, so my dad bought tickets for me, my brother, mom and dad. I remember the atmosphere outside the stadium like it was yesterday. And the concert was great. Back then I did not know he lipsynched, and didn't care either really. I was just having the time of my life.
I was going to see him again at the This Is It tour multiple times, one of the concerts I had tickets to was the opening night. - Would have been amazing...