It's just my personal opinion but I would prefer to see it in different cities/countries. By restricting the show to only the US it does reduce the chance for international fans to attend.
Not to get all political, just stating facts, but remember post 9/11 it can be hard for foreigners to gain entry to the US. People from my part of the world must go through these steps to enter:
Have been at the same job for the last 2 years. If you recently switched job you cannot get a visa even if you are a priest
Have a a set amount of money in the bank
Have never been arrested, not even for a traffic offence
Must have your own residence, if you are a young college kid that lives with your parents, you cannot get a visa
Must go for an interview, and the embassy must 'like' you
Must have no relatives in the US, if your brother happened to have married an American girl, you cannot get a visa.
Thats just a start. There are actually over 100 restrictions [literally]
For example, Gustavo is like a major hero in Venezuala. They practically worship him there. If the O was in Canada/UK whatever I guarantee that would be a large amount of Venezualans there.
As I said, not trying to get political so please no one take offense, just stating facts as far as visiting visa facts.
Plus - this is just me of course - but I have been to the O a couple of times and do like Vegas, but if it was in different cities I would like the chance to see the O, and also visit a new place at the same time. I mean - it's not like I attend the O for the fine production value