It's totally alright to ask a performer if they'd sign something from another show they were a part of. I do that for every show I go to... I did it with Matt Morrison at Piazza (brought the CD insert for Hairspray - he thought it was awesome and looked at the other signatures I had on there, trying to guess who they were.)
When I saw DRS, I asked Sherie if she'd sign like... 5 CD inserts from all her shows (Aida, Debbie Does Dallas, DRS, Last 5 Years, Hair Benefit) and she was so flattered! Same went for Idina when I met her. And John Lithgow (he signed my Sweet Smell of Success insert), Julia Murney, Anthony Rapp, Kerry Butler... sooo many. Most of the time, it's flattering to see that a fan recognizes them for their overall work and something OTHER than the show they're doing now. At least... I WOULD BE flattered.