I hope that the idea of not wanting to watch a show that isn't in their country isn't an actual sticking point for Japanese fans. Wouldn't the attraction of the DVD be the content of it, meaning the fact that it's an Ayu show, thus making where it was filmed irrelevant?

That's my thoughts about it, anyway. I think it's pretty cool if artists release DVDs from different countries besides their home ones; it's nice to see the difference in the crowd, how the set needs to be adjusted or even how the artist(s) interact with a different audience.
The only argument against it that I can see is then they wouldn't be able to relive the show -- if they indeed went to the final show -- but that's not a big deal, either. How many of us fans who
don't live in Japan haven't had that experience XD?