Brazilian magazine RG Vogue brings a short and very special note about Madonna and the Sticky & Sweet Tour, there's also an interview with Christian Lamb:

Lamb, who used to work on movies before working with the pop diva, told us that Madonna herself considers the São Paulo concert the most incredible of her tour. "She was very emotional with the end of Hard Candy. She cried during the entire show. We just realized that everything was going to end when we arrived in Brazil."
In Rio, a torrential rain almost ruined everything... "She considered not going on stage. This was a very important question. The crowd security is our responsibility. There was a car on the stage that could fall... you know? Anything could happen".

Lamb told RG that Madonna was amazed by the crowd reaction, and how everyone was so receptive even with the rain. "In America half of people would have left the stadium..." he said.

Source: RG Vogue (found on Madonna Fanzine)