I've never seen Pegazus... do they still use pyros??
I know the good songs are most important... but having costumes and theatrics doesn't take away from it at all it just adds to the show and makes it even better, so I don't see why bands don't do it. Seems like alot are probably scared that people will think they're covering up bad songs/musicianship if they do it, but they should be confident enough in their own music to not worry about that and just think about putting on the best show they can.
If I was in a band... I'd always go all the way with just doing teh biggest, most exciting show I can in terms of visuals and participation and always finding new ways to do it and surprise the audience and keep them on their toes.
Maybe its also partly coz alot of bands want to see the fans getting into solely the music for their own satisfaction too... but personally I wouldn't really care about that. I'd just wanna give the fans the best night possible. Seeing a band is a form of entertainment, therefore it's about excitement, not watching musicianship. I'm a guitarist and I really couldn't care less about watching what somebody's fingers are doing. I wanna be entertained.
Edguy and Dungeon last year rocked because both their sets were so entertaining, full of energy and singalongs and crowd participation and heaps of movement on stage... that's a show!