This mini documentary has a great bit of info about the Moscow Cat Theater. Apparently shows like this are fairly common in Russia although we certainly have nothing in the states like this, at least not with cats. It's easy to think the cats are unhappy if you saw them outside of the film, but seeing them with their owners, you can see there's a lot of love there.
Update: For those of you who can't watch Hulu, coconutnut has found the video on YouTube. Thanks Coconutnut!