I know this is a little late, but I wanna share my opinions about each band's sets...
Anthrax- can't really comment. The only band out of the Big 4 that I don't know any songs by. I do own the Big 4 2-DVD set, but haven't watched their segment because I have two of their albums (Among The Living and Sound Of White Noise) but with the abundance of music I embarrassingly haven't had a chance to listen to them yet.
Megadeth- I have and know every Megadeth album with the exception of Killing Is My Business...And Business Is Good and The System Has Failed. Not sure how I feel about Trust as the opener. It's awesome that they kept Poison Was The Cure in the set without the complete RIP, but if they wanted to play a deep cut from RIP I think they should have played Tornado Of Souls. Very disappointing that they didn't include anything from United Abominations which is one of my favorite Megadeth albums (unless you count the A Tout Le Monde remake). It's lovely to see that Holy Wars...The Punishment Due is the closer in it's entirety again. It's my favorite Megadeth song and it annoyed when they were closing with that reprise of it like shown on The Big 4 DVD.
Slayer- I only know two of their albums (Reign In Blood and Christ Illusion) so I don't know a lot of the songs listed in their set. Great to see Postmortem in the set. Also, very happy to see Angel Of Death is the closer instead of Raining Blood. And even happier to find out that Jeff Hanneman is recovering well enough to join them on guitar for the last two songs.
Metallica- I am the most familiar with Metallica and know every song listed in their set. Fairly similar to their setlist on the Big 4 DVD Sofia show. I think Creeping Death is an awesome song but I don't think it's opener worthy. I think they should open with Battery because they don't play the acoustic intro live and that would be a good opportunity for them to take their stage entrance. I'm very disappointed to hear they didn't play anything off Load, which is a tie with Master Of Puppets as my favorite Metallica album. As much as people here pages back have dissed Fuel being in the set it is one of my all time favorite Metallica songs, so if they didn't play it I would be disappointed. Also, I think Seek And Destroy is the perfect closer for Metallica and should stay at it's spot in the set.