Well, you could take it as either or. The female cries from the audience were just that, cries from a mobbish audience. You can take it as either excitement or terror, though I think it was more along the lines of exuberant fan excitement.
The one who spotted the ginormous U coming downwards were us, the viewers, and the member of the Beetles who's in the back on the drums mimicking Ringo Starr. What we saw on screen was at one point, the lower rim of this red thing starting to descend slowly. Then the Beetle who's on drums says: "Quick lads, it's U! Run or we'll be crushed!" The band finishes the song and make a dash for it, just before the giant U crashes downwards.
Hope this helps and have a good day.