There is such a thing as Theatre Etiquette.
Basically, that means everyone is quiet as soon as the lights dim and the curtain rises. There’s no clapping when your favourite actor comes on stage or when he/she nailed that soliloquy. There’s only applause for the interval and applause and (if the play warrants) standing ovations at the end.
In live shows, you get some heckling but in most improv shows that’s a good thing.
There are instances in which shouting, commenting and heckling are the norm, for example in a football stadium. Imagine the atmosphere, if fans only clapped at half-time.
Now imagine what it would be like if Shakespeare fans were a bit more like football supporters…