Echoing your point, they actually have a documentary called the Magic and Mystery Tour http://www.imdb.com/title/tt0398512/ where they travel the world seeing different magic acts and searching for the first documented magic trick on record. It is fun if you can find it. Last time I watched was on a physical DVD years ago, but maybe it is online now.
Many years ago I attended a small scientific conference that P&T were also attending. They weren't presenting; they were just in the audience listening because they're interested in science. One presenter was having great difficulty with the A/V equipment. This went on for about 10 minutes and the audience was growing frustrated but we were all too polite to say anything. Finally one guy stands up and says -- very loudly -- "My name's Teller and I'm a professional magician and I know a little bit about A/V equipment. Would you like some assistance?"
The guy has no problem speaking when he's off stage.
I remember going to a show and meeting Teller afterward. It was the same voice that I had heard during a piece where a voice was doing some narration over the PA (IIRC during a piece that Jillette does onstage alone).
So if you've ever seen a full P&T show, you probably have heard him speak. Just not onstage.
