Before the Marx Brothers filmed A Night at the Opera, they went on tour with a vaudeville-style version of the script. The idea was to "test out" the comedy material before live audiences and to rewrite and refine it before committing it to film. This article talks about the stop they made with this act in Salt Lake City, Utah.
The piece says that the big change in their movies as of A Night at the Opera was the inclusion of a plot because they'd never had one before. I don't know about that. There was more attention given to a romantic subplot, true. There was also more time and money spent on their movies once they moved to MGM and there was no Zeppo, which sure didn't hurt. But they had had plots — even romantic subplots — before. They just didn't worry too much about developing and resolving them in a satisfying manner.
I have friends who love the Marx Brothers but don't like any film after Duck Soup…which means they only like five of the dozen movies with three or more Marxes in non-cameo roles. Less than half. I don't deny the last few were pretty grim but there's enough Marxian joy in A Night at the Opera, A Day at the Races, At the Circus and Go West to make me very happy. Of those four, the weakest was At the Circus and it may not be a coincidence that it was the only one that didn't go out on one of those "test the material" tours.