I have a few perspectives on this. Indie artists tend to sell music at their shows. Two recent-ish examples being Otoboke Beaver (vinyl and CD - high demand for both) and Weyes Blood (same deal). I don't know how they manage the logistics, but it may go as far back as the pressing plants where volumes are drop shipped to locations the artists will tour, or buying stock from local distributors, depending on volumes available. I'm in Australia, so need to treat everything as though living on an island.

It's been a long time since I worked at a label, but there were a couple of parts to it as I remember - and we're talking larger artists here. The label and the tour promoter don't always work together. The tours happen independent to the label's preference. Not always, but it can be the case. There can be tension between these parties - labels and promoters - there's no obligation for them to collaborate. The label is not a retailer, so they don't have the option to sell at the shows. And a retailer would need to have been anointed, but who? How is it "fair" to determine who should be able to sell at those shows. Merch companies don't always belong to the labels - so that can be completely independent. Also, venues and promoters may want a cut of the CD sales (which is what it would have been at this time) and that'd reduce the margin/return for the retailers.

I guess this is why it's called an industry ha ha