No. In fact, one of the Broadway Theaters (the Circle In The Square) isn't even a typical proscenium theatre. It's normally in the round or thrust.
The Helen Hayes has 597 seats while the Gershwin has 1,933 seats (that's more than 3x the size!).
If you have a popular show, like WICKED, being in a large theater is important because you have more seats to sell and therefore are making more money.
Choosing (and then obtaining) the appropriate theater for your show is one of the most important factors in turning a profit.
"The Spectacle has, indeed, an emotional attraction of its own, but, of all the parts, it is the least artistic, and connected least with the art of poetry. For the power of Tragedy, we may be sure, is felt even apart from representation and actors. Besides, the production of spectacular effects depends more on the art of the stage machinist than on that of the poet."
--Aristotle