Thanks for your UX suggestion. I’ve passed it along and unmarked it as the correct answer.
I don’t believe this is exactly what you’re wanting, but here’s a shortcode to show a map of all venues(an existing feature request that you can add your vote to if you’d like):
https://gist.github.com/cliffordp/8ecb7022d92f9c989e2e72ecdcf25c60
If you’d like to get all events separated by each venue (or some other “Venues Listing” view, you could add your own feature request if you’d like, as we do not have such a snippet at this time, but I think it sounds like a neat idea).
If you need some coding help, you may want to ask your developer or reference our documentation and list of known customizers.