I have a theory in response to your question, even though, I am not sure whether you will find it satisfactory or not but here goes :
Rock concerts, are to an important extent, like video games, the cinema , and theater, in that they provide "make believe" worlds, in which artists, their audiences and spectators are allowed--or allowed to take--the license to enact, re-enact, enjoy fantasy scenarios, nightmare scenarios, horror scenarios, apocalyptic scenarios, etc. etc.in the name of entertainment and recreation, and yes, sometimes in the name of social satire and political commentary. Note that such scenarios include many that most of the participants do not expect to encounter, experience, and/or cannot even tolerate in their so-called "real lives--", and yet they can be enriching and even therapeutic and educational in several ways, as long as they can be experienced in a vicarious, and relatively "harmless" way, as entertainment, and/or social satire.
We all know how "art" and fiction can make the most horrendous and ugly things attractive and easily consumable in the theater or in video games...As "entertainment," this process works well most of the time, as long as the participants who are mentally competent, know and accept the line that separates that world of "make-believe" which makes them possible, from what they consider to be the "real world," and they always respect, and honor that line.
However, as in all things human, not everyone is always willing or able to respect that line, so sometimes, it unfortunately gets crossed, and some nightmare and horror scenarios have often ways of crossing over to the hither side of the barrier,--to cite just one unpleasant and tragic example,
the Aurora Dark knight Movie Theater shootings--and that is why there is always some cause for caution and concern entailed in such activities
In the example you cite involving "The Wall," I can surmise that it worked as "entertainment" because, no matter how crazy and chaotic things got at the concert, both Waters and his audience knew and tacitly agreed it was all in "good theatrical fun," and that Waters was never really going to shoot, kill, or abuse anybody in real life (even while trying to make important political statements), and that he might actually have a real life revulsion for the Nazis he was imitating. One cannot, unfortunately, say the same for
the self-proclaimed Joker, James Holmes, who had apparently lost his sanity on his travels, and left a horrendous massacre in his wake in a movie theater.
Which is why the role of the police, while often problematic enough on its own (precisely because the police too are as "human," and "frail" as the people they're policing), is necessary and inevitable in any civilized society...