It's a myth because the real situation has nothing to do with gun shows. In jurisdictions where private party to private party sales without a background check are legal, they are legal everywhere -- not just at gun shows. In jurisdictions where private party to private party sales without a background check are illegal, they are illegal everywhere -- including gun shows.

Calling it the "gun show loophole" gives the false impression that sales at gun shows are exempt from background check requirements. This false impression is widespread. If you don't think so, poll the next ten people you meet and ask them what the "gun show loophole" is.