Dave, I thought the shows on Allure were the best I've seen on any Royal Caribbean ship, and better than many other lines' shows, too. I enjoyed all of them. I wouldn't recommend missing any of them, including the water show.
it's recommended to make reservations, but it's not mandatory. They let everyone who has a reservation into the various show venues first. About 10 minutes before show time, they open the house to anyone who wants to go in, assuming there are empty seats available. If you're not sure what day and time you want to see a show, you could go to the Box Office on the Promenade and make last minute reservations, if available.