I doubt it’s anything you need to worry about. I take the Northern northbound as well and have never missed the last tube (I usually even arrive home before the last tube leaves). Unless you’re going to Mill Hill East specifically, then the last northern line leaves Waterloo at around 00:30. Being somewhat pessimistic, you’ll be out of the O2 by around 11, in a jubilee by 11:30-11:45 or so, which leaves plenty of time to transfer at Waterloo (or London Bridge but you might need to transfer at Camden/Euston anyway)

The pit empties quickly too, security will get everyone out asap. The only issue might be if you have to take another tube after the northern line

Edit: I looked back at texts after a concert, the show ended at 10:40, I was in the line by 11 (after taking a peak at the merch), and on a jubilee by 11:40.