For decades, the Lido was one of the glitziest cabarets in Paris, home to extravagant, acrobatic numbers and the Bluebell Girls, a renowned chorus line. Last July, the curtain came down on their feathered headpieces for the final time, and the ensemble was disbanded. Their replacement at the theater this winter? “Cabaret” — the 1966 American musical. On a recent evening, with bejeweled Bluebell outfits still shimmering in window displays by the venue’s entrance, the Lido’s patrons seemed ready for a show. When the Emcee from “Cabaret,” directed by Robert Carsen, introduced the musical’s own ensemble, the Kit Kat Girls...