Absolutely they should. The Mr. Olympia is the best bodybuilding event in the world. Especially when it is Las Vegas... simple as that. Where else can you get a press conference, meet the athletes night, expos that are bodybuilding oriented, shows, seminars, and more.
And this is Vegas... where you can catch many other speciality shows on other nights, or just go listen to some music, have some fun, enjoy the city and a little mini vacation for a few days...