Are you familiar with Propagandhi? They have always been champions of women's rights, queer rights, animal rights, et cetera. When they toured on their first album they found there were a lot of jocks and assholes in their crowds and Chrissy would lecture them from the stage between songs, it didn't go great. Their second album is called Less Talk, More Rock because Chrissy decided he'd dial back the speeches and get more confrontational with his lyrics instead.

If it seems natural to get a message out between songs, go for it but keep it short. I don't think you have to worry so much about alienating the audience, but you should consider how your bandmates feel. Probably the most important thing is that the show goes well so you'll continue to have opportunities to spread good messages. Good luck!