I actually saw this live in Knoxville. Yes, it was kind of a big deal that he was playing stuff from P&W before it was released. This solo was the big highlight of the night, that's for sure. I think the video for "The Audience..." was airing on MTV by the time I saw this show. Seeing this on YouTube brings back some fond memories!
Other things I recall from this show: Kix was the opening band and their hit at the time, "Don't Close Your Eyes" was the only song they played that was, quite obviously, not live at all and faked via tape,(you don't risk screwing up your "big hit" on tour if you can't pull it off sufficiently).
When Whitesnake came up, you didn't notice Coverdale and the rest much due to Vai. Not just guitar player prejudice here, everyone was talking about his performance after the show. The man just has a stage presence that over-shadows even the most ego-maniacal of lead singers. Aldridge did his Bonham-esque drum solo, complete with playing half of it with no sticks. Vandenberg's solo was very Yngwie-ish, and he kept having major tech problems all night. At one point I thought he was trying to decapitate his guitar tech because he flung his guitar at him so hard.
Oh, and the Uni Steve uses on FTLOG is this one:
http://www.vai.com/Machines/guitarpages/guitar037.html
I remember it well because the thing was BLINDING under the spotlight when he put it on the bunjee chord and let spin up to the roof.