Because its not just about turning lights on and off? You also have to pay box office, porters, ushers, house crew, security, etc. I have a feeling it is probably cheaper just to put it in an already operating house than open up a whole new theatre for one performance a week for four weeks. However, I haven't seen the numbers to confirm this. This isn't the first time it has been done though. I was going through every show for the last 10 seasons or so once, and I remember it happening a couple times. I know it happened at the Beaumont, but I remember a commercial house doing it as well (don't remember which one though).