Don't know about that specific venue, but at similar large venues in NYC, I've mostly been lucky enough to get in with film cameras. They definitely seize anything that looks like a DSLR though. I've occasionally astounded myself when security opens my bag and there sitting in plain view is a film SLR and an extra lens, and they let that in.
Full disclosure: the venues that I'm thinking of (Webster Hall, Bowery Ballroom, Terminal 5, etc) aren't *quite* as big as O2. I guess the parallel in NYC would be Madison Square Garden or Radio City, and I've never tried to bring a camera into either of those places. Problem with huge venues like that is that you're generally way too far away from the action to get anything good unless you have a ridiculously long lens.