After I posted this photo on Facebook, a few people asked why the swearing in is still held outside, in the January cold. I guess the primary answer is tradition. We usually hold big inaugurations outside. I remember the start of Ronald Reagan's second term, in 1985, began indoors because the east coast was in the grips of a severe cold snap.
Ernie Preate's inauguration as Pennsylvania's Attorney General was held in the Forum. That's a big and ornate theater/auditorium just steps away from the scene you see above. Simply spectacular. But, it's undergoing a massive renovation right now.
The Farm show complex can be used in a pinch, I assume. However, if you have a setting like this, a little cold weather is a small price to pay.