Purchasing direct obviously gives the best return, since there is no retailer taking a cut.
But going to an artist's concert doesn't pay the songwriters, producer, mix engineer, tracking engineers, mastering guy, A&R, and everyone else who contributes to a successful album, so it's irrelevant to recorded music. People who think they can compensate for stealing music by going to live gigs are sadly mistaken.
What you say about debts is true for many artists, but it's important to note that the debt you are talking about is an advance on sales - it's not a traditional debt, in that if the artist doesn't recoup through sales, they don't have to pay it back. Remember, this advance would still be recoupable via spotify plays, deezer plays, or whatever - and these pay a pittance in comparison with the returns from a physical sale.