I'm sure Springsteen and his band have rehearsals, and they can and do play just about anything at his shows. He'll even open his shows with a cover tune every once in a while.
I was only comparing the difference between U2 and Springsteen fans. I can't picture his fans getting all wrapped up in and fretting over what the setlist is going to be.
His point was that yes, they don't get all crazy over what the set will be before the tour starts because they get crazy over what the set will be before each show.