Generally speaking, 'a festival of art' would be considered an incorrect phrase. Rather, it's a festival of the arts OR an arts festival - given that there are many facets to art, and the term an arts festival would generally be the relevant term given the suggested art form a guitar recital would generally be considered to form a part of a greater series of musical and/or visual art forms. (I think I wrote an answer that sounds more like AI than I've ever sounded before. 😬) Oh yes, American English increasingly uses 'on' for everything where the Brits use 'at'. I cover all these and much more highbrow and exotic themes with my polyglot polymath level students. Is that you?

All are fine except "on". "At" and "in" are better than "during". You could use "on" in a sentence like this: "I am on the schedule to play the guitar at (or "in") the art festival". "During" is not as good as "at" or "in" because "during" leaves open the possibility that you might be playing somewhere else (not at the art festival) while the art festival is in progress. For example, "I will be playing the guitar at home during the art festival. I'm not going to the art festival."