They did do a whole tour supporting Marillion, and Marillion's fans hated them on pretty much every date, according to William D Drake. At Hammersmith Odeon Fish did indeed come on stage to tell the crowd "If you don't like them, just fuck off to the bar and let them finish their set". Also, in Manchester some fans tried to vent their disapproval by setting fire to the stage curtain.
Edit : I posted this before I saw Pursued by Trees' post, but due to the batteries in my keyboard needing to be changed it took me a few minutes to complete. Apologies for duplicating information.