Bands often talk about breaking the expected boundaries of the rock concert. Usually, this means that a) the lead singer jumps off the stage and walks through the crowd, or b) really expensive pyro. So when a band really does snap you out of that rock-show routine, it’s a grin-inducing luxury.

Set patterns are anathema to master melon-twisters Neon Neon (chief Super Furry Animal Gruff Rhys and Brian Hollon, aka Boom Bip). Their first album Stainless Style set Rhys’ maverick mental wanderings to a fresher soundtrack than his SFA or psych-folk guises, circling around the life of car designer John DeLorean. Their second, Praxis Makes Perfect, is even more conceptual, telling the tale of Giangiacomo Feltrinelli, a rebel publisher in Cold War Italy who smuggled Dr Zhivago out of Soviet Russia, fell in with Fidel Castro and Che Guevara, was tortured by the CIA, went on the run and eventually died in a suspicious explosion.

As historical footnotes go, it’s a writer’s dream, and Rhys makes it fascinating fun, with synth-psych stomps like "Mid-Century Modern Nightmare" and Spectrum ZX-styled athletics themes like "Hammer & Sickle".

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Tonight’s not just about the songs, though; it’s a totally immersive experience, close to the immaculate worlds created by Secret Cinema. The venue is bedecked with filing cabinets, typewriters, books, while leopard-masked, military-clad figures prowl among the crowd.

Rhys takes on the role of narrator as a troupe of actors from National Theatre Wales act out the tale on and around two mobile stages, forcing the audience to dive frantically out of the way; no time for vacant YouTube filming here. “Pass it on and keep it safe!” cries Feltrinelli, tossing the Zhivago manuscript into the mildly panicked crowd as Soviet heavies shove their way through.

There’s no let-up as the story romps through a ’60s happening (complete with naked bodypainting), basketball with Che Guevara, and finally Feltrinelli’s ‘corpse’ being carried through the crowd as Rhys holds aloft a banner reading "LEFT FIST SALUTE".

The night ends with an encore/protest including "I Lust U" from Stainless Style as actors and crowd mingle amid placards asking "ARE YOU HAPPY WITH YOUR DEMOCRACY PROVIDER?" and admonishing "STOP GOING ON THE DAILY MAIL WEBSITE". It’s as thought-provoking as good theatre, as heart-racing and hip-wiggling as a great gig. Bad news, bands – the bar has been raised: getting the audience to sing the second verse just ain’t gonna cut it anymore.