That's for good reason, because the theater was only around for 16 years. It was built in 1902 and was destroyed by fire in 1918. What the connection Walt is, besides that obviously he was living in KC at the time, would be interesting to find out. It's an odd choice and it's significance to Walt may be a stretch. Still, I'm glad to see something from Kansas City's history represented.
The Mainstreet Theater in KC is much better known and opened in 1921 (when Walt would have been living there as well) and was right down the street from the Willis Wood Theater. Perhaps it couldn't be used because it is still an active theater (at least the facade is, the actual beautiful theater was sadly torn down to create a theater mega-plex about 15 years ago).