Doing the tour dates with Keith is a very good idea. First off it gets Kris in front of huge crowds. Okay, the opening act will never have the full attention of the crowd, but it's an opportunity to make new fans out of people. Plus it's Keith's tour so they don't have to pay for the staging but they also don't really get much money for it. They get paid in experience and opportunities.
I don't know if you remember but Hedley opened for Bon Jovi here a few years ago now.
Not only for the experience and the fans, but the press. To put on your resume that you toured with Keith Urban is another biggie. Whenever Hedley get's interviewed they seem to mention the Bon Jovi thing. It's a reassurance thing to the media. Oh, yes, this guy's good. Keith Urban thought so... so you are also permitted to think so.
I can see them doing their own thing eventually. It just takes time. Personally I'd like them to do the Keith Urban tour and keep working radio hard and do some one offs, and radio gigs. Maybe a college tour.