I can see many venues significantly bigger than theatres in these post-reunion North American tours:They were probably afraid to lose too much money, as they probably never profited on NA tours from 1990 until that Ozzfest tour in 2005. They hardly sold out any shows back then, and they played theaters instead of arenas.
Funeral For A Friend were an amazing band!Also, I saw Maiden at Donington in 2003 just before the release of DOD. The rest of the bill was rubbish, Nu-metal and associated bands hadn't quite been washed away yet so maybe the market for proper metal hadn't recovered quite as much then. Also look at the rubbish Maiden had supporting them at the time Muderdolls and Funeral for a Friend, that's a snapshot of what was trendy at the time, absolute muck.