Joe and co. were onstage Thursday night at Radio City Music Hall, where Stephen Colbert was hosting them and asking them questions -- this in front of a live audience, with seats for this fundraiser going for a pretty penny ... starting as low as $225 and going as high as $500k.

While they were talking about Jan. 6, a woman who'd made her way into the building somehow -- mind you, lots of protesters were already outside -- started screaming out loud.

The main woman here in the video -- who seemed to be joined by some other protesters as well -- shouted, "Shame on you, Joe Biden!" ... while going on to accuse him of backing a genocide. This, of course, is in response to how he's dealt with the ongoing Israel situation.

Obama reportedly responded to the protesters during the appearance, saying ... "You can’t just talk and not listen … That’s what the other side does." He praised Biden for having "moral clarity" amid a very complicated issue.

On a lighter note ... Joe and the former Presidents had a little fun during their appearance -- with all of them leaning into the Dark Brandon meme and throwing on sunglasses, including Colbert.