It's not just game shows, either--on the late-night shows they're applauding Paul/Kevin/Max/Cibo (?) and the band *before the band stops playing.*
I suspect that it's a holdover from the days of single sponsorship, when it was thought to be a good idea to have the audience applaud the word from our sponsor at its completion, especially if it was a live pitch in the studio.
Otherwise, a lot of the time it's just a miniature game show version of Hal Gurnee's Network Time-Killers, especially on "DOND," where they cue the audience EVERY FRIGGIN' TIME Howie says "$1 million."
I seem to recall that on "Feud," they applauded over the crossovers because Dawson didn't want to hear that music. I seem to recall in his crankier moments, if audio forgot to fade out the music before the applause stopped and Dawson heard as much as one note, he would stop and chew out audio (and it would make it on air).