There is a sense in which the relation between moduli stacks
and classifying spaces can be formalized, at least
when we use smooth manifolds as parametrizing objects.
(Topological manifolds and PL-manifolds also suffice.)
Start with a stack F of spaces on the site of smooth manifolds, which we think of as the moduli stack of some smoothly parametrized objects.
Define the concordification CF of F
as the prestack CF(X) := hocolim_{n∈Δ^op} F(Δ^n×X),
where Δ^n is the smooth extended n-simplex,
i.e., the smooth manifold R^n,
with the appropriate face and degeneracy maps.
(The name concordification comes from the fact
that F[X] := π_0(CF(X)) is the set of concordance classes
of sections of F over X, where two sections x and y
over X are concordant if there is a section z
over R×X whose restrictions to 0×X and 1×X
are isomorphic to x and y respectively.)
It is a nontrivial result that for any stack F of spaces
the prestack CF is actually a stack.
(For the much easier case of a stack (sheaf) of sets
this is shown in Proposition 2.17 and Proposition A.1
in the cited paper of Madsen and Weiss.)
Furthermore, CF is concordance-invariant:
for any manifold X the canonical pullback map
F(X)→F(R×X) is a weak equivalence.
An observation that goes back at least to Morel and Voevodsky
(see Proposition 3.3.3 in their paper)
says that concordance-invariant stacks of spaces
on the site of smooth manifolds
are precisely locally constant stacks,
i.e., the canonical map G(X)→Map(X,G(pt))
is a natural weak equivalence for any concordance-invariant
stack of spaces G.
In particular, in our case we get a natural
weak equivalence CF(X)→Map(X,CF(pt)).
Taking π_0 on both sides we get an isomorphism of sets F[X]→[X,CF(pt)].
In other words, for any (moduli) stack of spaces F
the set F[X] of concordance classes of sections of F
over X is naturally isomorphic to [X,CF(pt)],
where CF(pt) = hocolim_{n∈Δ^op} F(Δ^n).
It is natural to call CF(pt) the classifying space of F.
For example, for F(X)=Ω^n_cl(X), the set of
closed n-forms on X, we get CF(pt)=K(R,n),
the nth Eilenberg—MacLane space of R
(this is covered by the result of Madsen and Weiss
because F(X) is a set).
If we take F(X) to be (the nerve of) the groupoid
of real vector bundles of dimension n over X
equipped with a connection (and isomorphisms that
preserve connections), then CF(pt)=BO(n),
the classifying space of n-dimensional vector bundles
(or concordance classes of bundles with connection;
two bundles with connection are concordant
if and only if they are isomorphic as bundles without connection).
Note that we get the same answer if we take vector
bundles without connection;
the concordification construction does not see
any local data such as connections, forms, etc.
If F(X) is the space of bundle (n−1)-gerbes with
(or without) connection, then CF(pt)=B^n U(1),
the classifying space of bundle (n−1)-gerbes
(or concordance classes of bundle (n−1)-gerbes with connection).
One can also apply the concordification functor C
to morphisms of stacks, for example,
applying C to the Chern—Weil construction
recovers Chern classes, etc.