I have done my fair share of moving from my cheap seat to a nicer seat. When I used to go to Broadway shows all the time, I used to look for unoccupied seats and move to them at intermission. When I saw one show, I went from $50 lottery tickets where I couldn't see half the stage to sitting in the middle of the Orchestra, 5 rows back from the stage. When I saw Parade, I went from obstructed box seat views to two great seats in the Orchestra. Unfortunately, the people who bought those tickets decided to come for only the second act, so I got booted back to my original seat.
The way I see it, there's nothing wrong with trying to sit in a nicer seat if it's unoccupied. You always have to contend with the possibility that the seats were actually sold, and the people who bought them are just absurdly late, but as long as you can deal with that reality, you can have a much better experience at any kind of live event than you would if you just played by the rules.
A lot of people are born-and-bred rule followers, and it's really difficult to convince them to break the rules for their own gain. The woman in this story is one of those people. She is afraid of the embarrassment of moving to better seats at a baseball game, just to get called out by the people who actually bought the seats.