I agree that smaller venues have much to commend them and would have thought BF might, from personal experience, have considered them. His Frantic tour started and ended in the UK (with Europe, and possibly beyond, in between) and the second wave of gigs was allegedly aimed at venues where Roxy had played in the early days and/or where it would be accessible to more genuine fans (the fact that the Royal Albert Hall (RAH) gig in the first wave didn't sell out may also have been a factor...

).
Having attended both large and small scale gigs on that tour, I felt there was far more atmosphere at Shepherds Bush Empire and Reading Hexagon (perhaps helped by standing tickets which enabled me to saunter around with a beer in hand!) than there ever will be at RAH (especially if, like me, you get stuck with seats up in the rafters...).
On the Dylanesque tour I boycotted RAH on cost grounds and went instead to Brighton Dome (concert & train tickets combined still lower than required RAH outlay), which made a nice change of scene for me and it was clear that there's still a groundswell of support away from the bigger venues.