DS3 does not ask any questions at all when we read to him. It is quite enjoyable, but it makes me wonder how much he is comprehending?
DD6 only occasionally interrupts me, even when I know we just read something she won't understand. When I see those, I stop myself and ask her if she knows what that means, she'll say no, and I'll explain it. For example, bedtime reading right now is the Harry Potter series, and I know she has no background for the British slang terms they use.
I think it's more of a case of just enjoying the experience and not worrying about the little things. As she goes on she'll start understanding these things when she sees them in context, so I'm not concerned. She does stop me when she misses something she thinks is important.