I would never pay to play a show, my band has opened for several big acts including Megadeth and never asked to sell tickets or pay for playing, but playing with big bands, as cool as it could be, in other hand isn´t the big deal, you probably won´t get signed that way or discovered by PR or you like the band that much to have you on the tour (may be exceptions of course), the only coolness you will have is hang out with the guys, and that a lot of people will see your band, but probably only a few would care.
Your decision is correct, they must pay you instead of you paying them, or at least don´t pay a fart.