But have you actually seen him live?
To be fair, no video really does justice to how thrilling his (their) live shows are. I go to concerts/festivals since 2006 but few come close to what Cave brings to the table, live wise. And about the question if he's headline worthy or not: in Belgium he easily sold out 2 times the Sportpaleis (Europe's biggest arena). Not every Rock Werchter headliner manages to do so... But I have the feeling he's much bigger in Belgium (and Germany, Denmark, the Netherlands) than the UK, for instance.
Anyway, I always loved this on stage registration of Stagger Lee from Primavera a few years ago: