It's so much harder to recreate something than it is to shoot at the actual place. It's not without its problems. You've got a lot of bystanders and security issues, but it's always a lot easier and a lot more fun to shoot at the actual location.
Improv relies just as much on listening as it does you delivering dialogue. That's the hard for some people. Some people just concentrate on what they're going to say, and they're not listening. You have to listen in order to see where the other person is going to.