When I've done events at MSG, I've always eaten at Nick and Stef's Steakhouse, which is on the 8th ave/33rd Street corner of MSG (there is a Penn Station exit right next door too). The food there is really good, however, it is fairly pricey - there are definitely good seafood options, but a vegetarian would probably have to order a salad and an array of side dishes (I can't recall if there is a pasta option).