Jericho had the radio show before he left WWE as well.
I'd also equate being a WWE superstar above being a "theatre star". Essentially, WWE is live theatre in front of 10,000 people on a weekly basis and millions on TV. Any actor would kill to be able to hone his craft in front of a live audience of 10,000 on a weekly basis. Plus, I'm sure that Vince pays more than "Joe's Canadian Theatre.........eh".