There are only a few reasons the Watchtower gives orders: (1) control, (2) money, and (3) to avoid/minimize some form of legal liability.
Since there's no legal issue at stake, it's narrowed down to either control, or money. Arenas and stadiums are usually downtown, where events of some kind give those vendors money anyway. JWs buying lunch from takes money from the grocery stores that are farther out, near the hotels. A lot of money, when you put it all together. That's a stab in the dark. [edited] Also to be considered is that if JWs go to nearby vendors, the argument is, why not just keep the vendors that are INSIDE the arena and have them operate same as if it was a sporting event? If stadium staff sees JWs going to the vendors, that would become an issue--and I presume that could make renting the stadium more costly? It would also mean more non-JWs on site who aren't there for the convention. Knowing that all non-JWs are sadistic, child killing heroin addicts, that could be a concern, too. I don't know.
Control? Could be. Perhaps it makes it easier to monitor JWs (as a whole) when they don't venture away from the convention site. That way, no leaving early, wandering back to the hotel for a nap or immorality, and more room for 'wholesome association' (a way for the group pressures to take root even more firmly).
My money's on control, personally.
--sd-7