Black box variational inference has consistently produced impressive empirical results. Convergence guarantees require that the variational objective exhibits specific structural properties and that the noise of the gradient estimator can be controlled. In this work we study the smoothness and the variance of the gradient estimator for location-scale variational families with non-linear covariance parameterizations. Specifically, we derive novel theoretical results for the popular exponential covariance parameterization and tighter gradient variance bounds for the softplus parameterization. These results reveal the benefits of using non-linear scale parameterizations on large scale datasets. With a non-linear scale parameterization, the smoothness constant of the variational objective and the upper bound on the gradient variance decrease as the scale parameter becomes smaller. Learning posterior approximations with small scales is essential in Bayesian statistics with sufficient amount of data, since under appropriate assumptions, the posterior distribution is known to contract around the parameter of interest as the sample size increases. We validate our theoretical findings through empirical analysis on several large-scale datasets, underscoring the importance of non-linear parameterizations.