I like the early film musicals a lot, when they weren't sure what to do with sound. They had a tendency to just throw random vaudeville acts together and call it a movie, which is pretty much how you get the original Broadway Melody. But that's back in 1929. By 1940, film had become more or less mature. After all, that's the year after Gone with the Wind and The Wizard of Oz, and the year before Citizen Kane. By this point, people had a tendency to expect actual plots.
But there was still a market for movies that consisted of nothing but fancy dancing, and this movie did what it could to make that market happy. The famous dance is the Begin the Beguine number with Fred Astaire and Eleanor Powell, but my favorite was the one at the beginning with Astaire and George Murphy, in which they perform an entire swordfighting duel while tapdancing. It's pretty silly.
The stage productions in movies like this are always ridiculous. The sets are three stories high and the stages are the size of a football field. If you want to see a really crazy one, I recommend Footlight Parade from 1933. James Cagney plays a Broadway producer who starts producing stage productions for movie theaters to show between films, and Busby Berkeley choreographs these insane set pieces that the audience would never be able to see. The waterfall number in particular seems like it would be difficult to stage in a regular theater, let alone in a movie house.