Go to a concert, close your eyes and listen for depth...It's not going to be there.
I don't think you can conclusively say that all concert halls sound like this. This really depends on how the back wall of the concert hall was designed. Some which have lots of absorbing materials behind the players do not have this - mostly modern concert halls. OTOH there are those like the Vienna PO, Kingsway Hall (used in many older Decca pressings), where the hall acoustics are clearly audible and do give the sense of the venue.
Which is better? Well that's up to you. I find that some newer halls, with too much absorption, rob the performance of its dynamics and really kill the performance.
IMO the Benz cart should be able to reproduce these acoustic cues, so a better tubed phono should help. I also feel that a unipivot arm would serve you better in getting that detail, unfortunately that could blow your budget.