It's 5/24/75 (fourth E.C. show). Right before one of my favorite Dazed And Confused's, indeed the first live version I heard, he says the thing about the closet. He's giving the usual speech about how it's a song from the very beginning or whatever, describing what each of them were doing around the time the band formed and he says: "and Jimmy Page was coming out of the closet." His laugh after is priceless.
The guy he's talking about with the no artists in the country anymore is Denis Healey, who was the Chancellor of the Exchequer (finance minister) in Britain at that time. He's alluding to Britain's "super tax bracket" which forced the Stones into exile in '72.