Actually, gun shows would potentially be great targets for robberies. The patrons generally carry large wads of cash, as do most of the vendors. On top of that, the products being sold are almost universally high-value items.
It must be just that thieves don’t know how good the pickings are at them; that’s the only reason no one has tried to rob one yet.
Yeah... pull out and aim a gun at a vendor in a gun show.
You’ll have twenty guns trained on you within a second.