So far as I know, the Salt Palace is run by SL County. It is government property and therefore subject to Utah State preemption law prohibiting local rules regarding guns or RKBA.
I've never seen metal detectors, frisking, or other such security procedures used at the Salt Palace.
I can not guarantee anything, but I expect that if you have a permit to carry you should be fine to CC from both a legal and a practical perspective.
Of course, private venues including Energy Solutions Arena are within their legal rights to ban firearms and take measures to prevent access to the facility with banned items.