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Actually, Macbeth may have been performed at court and at Shakespeare's indoor theatre, the Blackfriars Playhouse. Performance records for the period are scarce, but circumstances and the date when the play was probably written may indicate that Macbeth was performed in venues besides the Globe.
Shakespeare likely wrote the play in 1605-1606. There are possible allusions to the Gunpowder Plot (1605) in the play in the Porter's allusions to equivocation, a rhetorical device of ambiguity in language used by Jesuits: "[lying] like truth" (Macbeth Act 5 scene 5). In Act 5 when Macbeth finds that the witches' cauldron predictions have tricked him, he cries:
I pull in resolution, and begin
To doubt the equivocation of the fiend
That lies like truth: 'Fear not, till Birnam wood
Do come to Dunsinane:' and now a wood
Comes toward Dunsinane.
Elizabeth I died in 1603, so by the time of Macbeth, King James was on the throne. James I loved the theatre and was the patron of Shakespeare's company, named "The King's Men" in honor of King James.
King James was also fascinated with witchcraft and interested in the prosecution of witches. In fact, King James wrote a "guide" to matters of witchcraft in his book Daemonolgie (1591).
It is actually likely that Shakespeare included witchcraft in his play to please King James. In addition, the character of Banquo, presented in a sympathetic fashion in the play, was said to have been a distant ancestor of James. When the apparitions from the cauldron show a line of eight kings followed by the ghost of Banquo, Macbeth despairs that Banquo's line will indeed provide future kings for Scotland's and even England's throne. (See eNotes answer at http://www.enotes.com/macbeth/q-and-a/what-does-the-two-fold-balls-kings-hand-indicate-110947).
Macbeth may have been presented at court for King James. When the line of eight kings appear, the last king carries a mirror, which could have pleased King James as the actor with the mirror might have held it to reflect the image of James himself.
Richard Burbage, a sharer and actor in Shakespeare's company, purchased the Blackfriars Playhouse in 1596. The company, however, could not use the theatre during Elizabeth's reign because it was within the city walls and theatre was prohibited in the city. Later, the King's Men were able to perform in the indoor theatre starting in 1608 after James came to the throne. The Blackfriars would have been a perfect venue for performances of Macbeth.
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