I'm glad they stopped playing covers after MP left (the only exceptions being the KC track, but they did it with the Crimson guys, so it was really cool). I've never cared for their covers, actually. From the ACOS EP, for example, I only have that song, don't care about the covers. Same with disc 2 of BC&SL.
I imagine going to a DT concert and getting a whole album by a band I don't really like or care about, instead of another hour of DT music. Such a waste of time, imo.
About MP's decision of playing the whole SFAM album for a few shows, that was a much better idea. That's their classic album (much better than IAW, imo) and every DT fan would love to see that album played live.
Answering to the OP, I'm probably one of the few people who actually like and listen to the Majesty Demos. These songs show how good they were even at the earliest stage of the band. My favorite would be A Vision, then probably Another Won, but my favorite moment from the whole demo is the outro of March of the Tyrant, it's just so great! They even played that after OAMOT on a few shows from the IAW tour. Hope they played some of these songs again.