Actually, they do that with a lot of concert films, especially the "big" productions. In one of the Pink Floyd books I have, there's a story from an "unnamed source" (for full disclosure purposes, it's quoted from a book written by Timothy White, known to be a Waters supporter), about how this one guy watched them do multiple takes of Comfortably Numb for the Delicate Sound Of Thunder video, in an empty arena.
I believe it was said that when IQ did the Forever Live video in the early 90's, they did the same thing, filming the soundcheck so they could get closeup shots without having to worry about the cameras being in the way of the audience.
It's also a known fact that much of The Song Remains The Same was actually shot on a soundstage in London.
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