It's not just a KC thing. Then entire SE part of this country listens to Finebaum religiously. Jim Rome is huge in CA, and many other parts of the country. WFAN is very big in NYC area.
The only thing that MIGHT be unusual about KC, is that while they too love sports talk radio, the sports talk radio in this town has very little interest in doing national topics and focus almost entirely on very local schools and teams. KC gets a higher proportion of listeners to sports talk radio than many other cities, but I don't think it's too much higher than Finebaum in the SE....that's an entire region of States all listening to one show.