Big concert venues are fundamentally lousy for most contemporary music - the echos and delay just smear all the sound. Perhaps the excess volume is to try and drown out that problem?
Small clubs much easier because the audience itself deadens the room & makes sound much clearer - but volume remains a choice & sometimes bands & mixers make bad choices even in venues suited for the music
Before amplification, music was composed in harmony with its venue (think chamber music vs. organ, or choral)…it seems hard to overcome those fundamentals - so, see the music one loves and try not to worry too much about the inevitable issues (earplugs really help at rock concerts, btw - brings down the volume & makes music much clearer)
I think MSG sound not bad (relatively) because it’s actually pretty small (so audience has proportionately more sound absorption) and has a lot of tiers - deader space than many large venues