There"s no such thing as an all-lecture class at Yale, nor at most other undergraduate colleges or business schools. Professors expect and demand engagement and discussion and students will often pipe up with questions in the middle of a salient point. In most cases, this is not considered rude; I think American students occasionally think of themselves as consumers of the course material, with the right to get their questions answered or theories explored by the professor. In one early class of ours, the professor even wrote to students who had not been participating to request that they speak up more in class.
Of course, not all participation is valid or particularly helpful. Students will often ask questions they should know the answer to, or attempt to build on a point with an off-base comment. Interestingly, if a group of students is in a class together consistently, the group begins to subtly govern itself and members whose contributions might not be adding to the total experience will get the hint and aim to consider the good of the whole when raising their hand. But shifting between absorbing the lecture and participating in a conversation about it is a key feature of the classroom experience.