A long time lurker here on this forum, but I thought I would register to add to this post, given that I was fortunate enough to be at the Sheffield Arena show when the video was shot - Monday 2 September 1991.
Our seats were on the floor, about 15 rows back, and I remember the "Mexican wave" that's in the video starting a few times from the back corner of the arena. This was probably about 5-10 minutes before the show was due to start. At the time we assumed that it was just a group of fans starting it but looking back it may well have been the video production crew getting it going.
During the show itself (where we got some tour rarities in IH, WICTY and SMU) I did notice a single camera man moving about filming bits and pieces, occassionally on the stage itself, which presumably are the little clips of the live show that appear through the final video. Then at the end of the show, Mark said something like "we're just going to do a bit of filming now" and they played Heavy Fuel as the last song (this was before OES was released so all the new songs were unknown to us). It was during HF that the woman ran onto the stage and got carried off by the "roadie" - we were too far away to recognise Randy Quaid and I didn't realise it was all a set up lol.
I remember seeing this video get played on "The Chart Show" in the UK a couple of weeks after. They used to add little snippets of information about the videos they played and one of them said it was shot at the (then) brand new Sheffield Arena. I was stoked to realise I appeared in a Dire Straits video (sort of).