Found this on YouTube.
It's a concert show from the Expo '86 festival in Vancouver, Canada in May 1986.
Sheena opens the show, performing "For Your Eyes Only" and "Strut":
Yes, I remember watching that concert on TV when it first aired. It was great to see Sheena's performance, and having her onscreen with the Princess of Wales was a treat...two beautiful ladies of the 80s.