IMO it's important to engage the audience at certain points with some craic, particularly if players have swapping around with instruments to do. I've seen too many bands missing the opportunity to connect with a crowd, appearing to be up on stage to please themselves rather than the folks who've turned out to see them.
'Dead air' - as any silence between songs is a term used on radio - can be avoided with a brief hello, how ya doing, great to be here, we're hoping to give you a good night, etc etc. whilst fellow band members are changing settings etc.
It forms a bridge between band and crowd just as the music does, and as said already by some, can become integral to putting on a great show.
As our bands designated front man I have to do this as our guitarist also plays sax, I have both a fretted and fretless bass onstage to swap over, I even very briefly introduce my fretless during swap over - as most folk would not realise it's any different to my fretted (apart from even more bum notes π) whilst our keys player changes settings on his keyboards as well as looking after the sound mix.
My staple patter at some point is always 'apparently the louder you applaud and shout between songs, the better we play' and it works at many gigs.
It's all part of the show, connecting the band with the audience π