I think it's always a good idea to bring something in case of rain.
Out of seven Disney cruises, we've had heavy rain on two of the Pirate Nights. When it happened on a Wonder 3-night cruise, the entire pirate show and fireworks were rescheduled to the next night. On a 7-night Magic cruise, the dancing continued in the pouring rain, then was moved into the atrium. The fireworks were rescheduled for the next night, but they never ended up doing the actual pirate show where Mickey "saves the ship".
On a third cruise, it rained all day in Nassau but the captain was able to steer clear of the rain for the Pirate show.