Asking “Hey, where did bob just go?” is not rude. Leaving an interview where you have been purposefully insulted and treated poorly is also not rude right? Why burn your time when you know you won’t accept any offers. Just seems like there are better ways to spend time.
Playing dumb, if you can with a straight face, isn't rude in response to rudeness, IMO. And it can be quite effective. It's one thing to insult someone; it's quite another to have to explain how and why you were insulting them. "Huh? Whaddaya mean? I'm not sure I get it..." works well on overly offensive jokes too. Usually. Some real jerks will double down though and happily explain in excruciating detail.
That is a great questions for candidates to ask and I wished more of them did. Another one I like is "How does your organization change course when they realize they are on the wrong one?".
Agreed although I’ve had interviews that taught me quite a bit about the company and the interviewer. This then became useful career information for industry practices and useful skills to develop.