They rehearsed it for "Midnight Special", but did not perform it on the actual show. My understanding is that the rehearsal is the origin of this audio recording. The comment about Dennis signing it because Carl was too scared was something Dennis said onstage before he sang it at the Radio City Music Hall that March (I think he might have said "too shy" or something to that effect).
It puzzles me why this song wasn't performed live more often. My guess is that, vocally, it's near the bottom of Carl's range, and maybe he found it difficult to sing live.