Question to bootleg gurus regarding recording

I am attending a Depeche Mode gig very soon and I'm willing to record it in fairly good quality. The problem is that I'm new to this and also on budget.

So I bought a Sony ICD-UX533 recorder.
I'll choose the LPCM 44.1 kHz/16-bit recording mode since it's technically the best this thing can offer, but what about Mic Sensitivity? There are a few modes to choose from. As I understand the higher sensitivity the louder volume it records. Which one would be optimal? I suppose, the lower sensitivity - the lower distortion in higher volumes?
Here you can see - http://imagizer.imageshack.us/v2/800x600q90/138/z9b8.jpg

Although it has an internal stereo mic, I am also thinking about getting an external stereo mic, something like Sony ECM-DS70P. I think it should be better in terms of sound quality,

Here is how it sounds in LPCM mode, High Sensitivity (music). The noise cut feature is disabled.

Guitar test (I can't play the guitar at all so excuse me for that, it's purely for the sound) - http://www.mediafire.com/listen/6aabd292c8kx38y/140215_005.WAV

Capturing a fairly loud music from my PC speakers test - http://www.mediafire.com/listen/a3kb32y60482bam/140215_003.WAV

I don't know a lot about this stuff. Go to The Traders' Den - they'll help you there for sure.

But generally speaking, having an external mic can only help, not hinder.

Good luck !

Thanks for the advice, Sir :-)

If anyone's interested. 

At the end I got Olympus ME-51S external mic. 

Here's how it sounds with some post-processing - [url=https://mega.co.nz/#!3V9g2RqY!F30NLyQXYR56gl-EdPHb5Cy4WPczvY9eiicPUC7elKs ]https://mega.co.nz/#!3V9g2RqY!F30NLyQXYR56gl-EdPHb5Cy4WPczvY9eiicPUC7elKs [/url]

Sounds pretty good.
Please go back in time and record Earls Court 77 - 2nd night.

Ain't got a DeLorean unfortunately. In case B&R decide to tour Eastern Europe around where I'm at, I'll be sure to record it.