Talk shows are quite a bit less work to put on than live music.
I guess one thing Exapno Mapcase might have meant was - how much do the advertisers love being next to a live-music spot? Maybe not much. They’d probably rather be beside a known hit.
I’m betting there isn’t a radio format that hasn’t been analyzed to death.
This. Probably nothing in the economy is as well-studied as radio formats. Have been for decades.
KSAN used to broadcast some great live shows back in the 70s, including the The Sex Pistols’ infamous final gig at Winterland. Luckily for classic rock fans, a lot of people recorded those shows and have posted them on youtube.
Here in the UK we have loads of live music.
TV:
The BBC will cover most music festivals, usually with coverage on multiple channels if there’s several stages.
Later with Jools Holland has an ecletic mix of live performers.
There’s the Proms every year. 6 weeks of classical concerts.
BBC Four usually shows opera once a month or so.
Graham Norton will have some band miming at the end of his show. So that doesn’t really count.
Andrew Marr will usually have some odd classical performance at the end of his politics show for no logical reason.
Channel Four used to have a live band broadcasting from the staff canteen on a Friday afternoon. Not sure if they still do that, but it was cool when I worked there. Dido performed with a really bad head cold and sounded dreadful. She also sneezed on me in the lift and passed on her bug!
Radio:
The BBC have the Radio 1 sessions.
Most local stations will have a weekly live session, normally late at night but accessible from their website for a week or two after broadcast.
Music festivals will be covered by either the BBC or a local station.
I’m a bit jealous. 
The BBC knows how the arts should be broadcast.
I’d love watching those shows.
The difference, to me, is that with spoken/speaking comedians you expect a certain level of “pushing the envelope for the sake of laughter” that you don’t with musicians and it is a little more acceptable there. We’re friends with one of the people involved with B&T and his opinion has always been that since they are “comedy” they get away with some things a straight music program would never be able to fly. It doesn’t mean an open field (look at the flak over “Camel Toe”) but it does give them some latitude.
ACL is taped live, but not broadcast live. KUTX is the PBS music station affiliated with KRLU which is the PBS station that records and produces ACL. There are lots of live performances taped at Studio 1A, the Cactus Cafe, Paramount, etc. Not many that air live. During SXSW, they have a live feed for their breakfast shows.
We also have Sun Radio which has their Wednesday night fund raiser that airs live (and sounds like crap).
Those two stations plus KOOP play a lot of local bands and rebroadcasts of live performances. But not so many live on the air radio shows.
KEXP (https://www.kexp.org/) does a lot of live sessions with bands. I usually watch on youtube but I think if you’re in the Seattle area you can listen to it live.
Recent example with Frankie Cosmos (Kevin Kline/Phoebe Cates kid! — jeez I feel old!):
