Word for non-malicious heckling

Banter: The playful and friendly exchange of teasing remarks

or

Badinage: Humourous or witty conversation

It's not clear from your example if this falls in this category, but there is a style of interaction between speaker and audience named Call and Response, which Collins defines as "a form of interaction between a speaker and one or more listeners, in which every utterance of the speaker elicits a verbal or non-verbal response from the listener or listeners."

It is particularly characteristic of African and African Diaspora cultures, and many people who are used to call-and-response settings will continue the response side even in situations where the speaker may not be soliciting or expecting that form of audience interaction.

(I'm including this as a separate answer because it covers an entirely different situation)

Outburst - a sudden, unplanned verbal interruption, usually motivated by a strong emotion.

Some of the following may be relevant, although several of the verbs have slightly negative connotations.
• chaff, “To use light, idle language by way of fun or ridicule; to banter”
• josh, “To tease someone in a kindly fashion”
• needle, “To tease in order to provoke; to poke fun at”
• quiz, “(archaic) To hoax; to chaff or mock with pretended seriousness of discourse; to make sport of, as by obscure questions”
• kibitz, “To give unsolicited or unwanted advice or make unhelpful or idle comments”

One who kibitzes is a kibitzer, “A person who offers unsolicited views, advice, or criticism”. Kibitzing during a speech is indeed a form of non-malicious heckling, although the speaker might prefer to do without extraneous advice.