The stage door is simply the main door to enter the backstage area of a theatre/venue. Actors, employees, etc enter and leave the backstage area via this door.
Shows don't "stage door". Its not a special performance they provide for audiences. Since the stage door is the main exit from backstage, actors leave the theatre this way. The public is aware that their chances of seeing an actor after a performance is standing outside the stage door, which is how and why this tradition started many, many decades ago. It has nothing to do with a show. Sadly, due to the madness this tradition has evolved into in the last decade or so, many actors have chosen to avoid leaving thru the stage door and exit thru other areas.
Every actor is different. Some enjoy meeting their fans so they exit the stage door aware of what they have to endure before they can go on about their day/night. Some actors are private people and just don't want to deal with all this, so they simply exit avoiding the public. Its all subjective.
As long as a theatre is having a performance, actors will arrive and leave the theatre. Will they enter and leave via the stage door before and after their performance? Each actor is different -- some times one will do so; some time one will not on another day.
Consider the stage door as the entrance to their office building or the employee entrance at a department store. Employees enter this way to go to work. Its not seasonal. Snow, rain or shine, this is how they enter to go to work.