alternatively you could say "Tonight, the first grand celebration will be held in *the* glittering Building name, at which *time* you *will be able to* enjoy the ultimate retail experience."

You can use either, but where is less formal/more common in everyday language. I would say "Tonight, the first grand celebration will be held in this glittering [Building name], where you can enjoy the ultimate retail experience." The subtle distinction is that where is technically saying you will enjoy the experience in the location of the building, whereas at which could mean at the event (the grand celebration) rather than the location itself. But no one would ever read that much into it, and where sounds better in conversation.

I cannot see its evident difference between both to myself . I would use either at which or where

is it retail or real experience?