The stage and all the speakers are carefully constructed to give different sounds on stage (called monitor sound) and into the stands. You have one set of speakers pointing outwards, these are hard to hear from behind them on stage. The venue is constructed to trap the sound so it does not get reflected back to the stage performers.
There are other speakers pointed towards the performers, usually on the floor at the edge of the stage allowing performers to put their foot on them to look cool. When you are on stage these are the ones you hear and they have the volume turned down and might not have the same reverb effects and such. The audio engineer can also turn down the volume of the microphones in the monitors if feedback is an issue. It has also become more and more common for performers to wear monitor ear buds so the monitor speakers can be turned off completely.
In addition to this the audio engineer can catch the feedback and adjust the volume before it is an issue. You might just start to hear the feedback and then it dies down as the audio engineer fixes the issue. They have lights showing the volume of each channel so any feedback will show up as a big red bar on their mixer. The audio engineer also knows the songs and what the performers will do so they will turn off microphones that are not used. This way a particularly loud guitar solo will not be picked up by an idle microphone on stage as the audio engineer have muted this mike and only unmutes it when the vocalist steps up to it. This is also why a lot of vocalists will enter the stage holding a microphone high up in the air, the sound engineer can read the tape color so he knows which microphone to unmute. Although this have turned into a show bit as well, same as standing on the monitor speakers to hear them better have become a classical show move.
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