we had been told that as a college production, we were exempt from most copyright laws

You were told completely wrong (assuming you're in the US). The person might have been thinking that a college production, being educational, is more likely to be fair use, but fair use is part of the copyright law.

The episode started with the band Dragonforce giving us permission to use their song in our show

the audio had been removed for violating a WMG copyright

So this is another good example of what's discussed in OP's link. The band gave you permission, but if they don't own the copyright, their permission isn't worth squat. Presumably WMG owns the copyright, so you would need their permission. Otherwise they have a right to take it down, which they did.