I think his way of thinking here is that there are far less possibilities for humiliating disaster over the radio, since no one actually SEES her, just listens, so he may as well be a nice husband about it and steer her away from the normal trainwrecks that regularly occur when she does an act at his nightclub or a live performance on TV. It's damage control, basically - Lucy being Lucy, she's going to cause catastrophes no matter what, so it's to his advantage to point her towards the less horrific ones.