The "gapless playback" property is set automatically in iTunes (and has been for several releases). Although this was present as a user setting in earlier releases, it was badly named as it never determined whether a gap would be heard between tracks or not. Rather in works/worked in conjunction with the crossfade function, such that even if crossfade is selected it is not applied to the transition between consecutive tracks of the same album. In other words, if crossfading is turned off the gapless playback property has no effect at all.
I know that iTunes performs a "gapless analysis" when (some) media is added to the library but have never been able to determine what determines the results - based on searching the iTunes Library.xml version of my iTunes database, I've never found a single case where the gapless playback property is not set to TRUE (it seems to be set for all mp3 or AAC media but not present for Apple Lossless).
I'm not sure why you're hearing gaps in your live shows - I have many of these and all play seamlessly. It may help to diagnose the problem if you can indicate:
- the source(s) of the live shows
- the format(s) of the audio files
- how these have been added to your iTunes library