Executives and CEOs are a rowdy bunch. You need someone who can get the group back on course when they start of wander off. Team member contributions are too intense and too valuable to be diluted worrying about when to break for lunch, where the rest rooms are and other meeting details. Further, a facilitator that is seen as a neutral party can steer the group through discussions of the really tough issues. It is a false economy to facilitate the process yourself.
Meeting rooms carry their own negative connotations.
The room doesn't have to be expensive. It could be a conference room at a colleagues' company or even a rented church hall. Dress in business casual. The casual dress breaks the mold and 8-12 hour meetings are more comfortable in casual clothes. Dedicate 2 intensive days to establish an organizational state of flow time.