Often a cross-examiner will make suggestions that are almost certainly not believed by the cross-examiner himself. I am sure that there have been belligerent witnesses who have thrown abuse, but have there been/is it common for people to answer along the lines of 'as you well know, no', or even to call the lawyer unethical/ evil for persuing that course of action to his face. Also, is there any study/experience that suggests whether this would be positively or negatively received by the jury and or judge.
That is not the witness' role
Calling out an improper question is the role of the opposing counsel or, in egregious abuses, the judge. A witness is required to answer the questions that are put to them as clearly and concisely as they can. If they don't, the come across as snarky and contrary - this rarely endears them to the jury.