It just means that the park will close at 8, but the F! show won't begin until 8:30. You would want to be in the theater by 8 PM anyway. As with all park closings, all attractions will close their lines at 8, but many shops and such remain open as people make their way out. I think if there is still room in the theater they will still let you in, even after 8, but the theater is usually pretty full by 30 minutes prior.
As for crowds, it's not really based on the day of the week at WDW. It's going to depend on certain factors, like park hours and special events. Rule of thumb, the park that is open later will be more crowded and the park offering EMH (either morning or evening) will be more crowded. An exception to this is Magic Kingdom is usually crowded on Mondays because it is of the the first day of a family's vacation, and Saturdays because of increased attendance by locals.