The Moon Club is decent too. Plus the Gate in Roath is an interesting venue. To be honest I think it's a case of local demand. I've seen the same band play Cardiff and Bristol and the venue/audience is usually larger in Bristol. The next time I see a tour announced, Cardiff is often missing.
Mind you compared to Swansea, Cardiff is awash with small alternative venues. There's a place called the Bunkhouse on the Kingsway holding 120, and that's it. Sin City used to attract the likes of Pete Doherty a few years ago but nobody seems to play Swansea at all these days.