Learn English – the sentence that is said before the real statement, to let the other person know what is coming, called

Preamble is accurate; however, I believe in casual conversation that preface would be more usual.

preface noun 2 : the introductory remarks of a speaker or author (Merriam-Webster)

It is often used in its verb form for just this sort of hedge (also a good option):

Let me preface this by saying...

(This Google Search, and a broader search with lots more examples)

So in your example, you could say

The speaker included a conciliatory preface before the question.

or

The speaker prefaced the question with a plea to not take offense

If you were the speaker, you could even say

Let me preface this by asking that you not get angry. Are you rich?

or

Let me preface this by saying that I hope I don't offend you, but are you rich?

Edited to add:

As EdwinAshworth points out, while preface-as-a-verb might be as likely to refer to a casual or spoken statement as to a formal, written work, the primary meaning of the noun is still an introduction to a book. However, I do believe the noun is used this way, perhaps influenced by the idiomatic usage of the verb. Some examples from around the internet (all emphases mine):

I have noticed in the past few years that many of my students tend to blurt out, “Wait” as a preface to a question they have. (Jeff Ortman, blog post)

A preface to a question that announces its content softens the harshness or abruptness of the question itself. (Carol E. Westby, Ethnographic Interviewing: Asking the Right Questions to the Right People in the Right Ways)

How come people say "no offense" as a preface to something they know darn well is offensive? (Discussion board posting)

"Bless her heart" > A phrase used as a polite way of pitying a person or as a preface to an insult (supposedly to lessen the injury). (Cindy Pierce, AOL News, "Dallas Slang")

Everyone understands that ‘with all due respect’ is usually the preface to an insult (Comment on a blog)

And used sort of adjectively

I just want you to know that this blog post will be about verbal tee-ups, the preface-y phrases—“I’d like to say,” “To be perfectly honest,” “No offense, but,” “I hate to be the one to tell you this, but”—that either drive you crazy or allow you to get away with conversational murder. (Katy Waldman, Slate, "No Offense, but Verbal Tee-Ups Aren't Actually Polite")

In finding these examples, I noticed that prelude is also often used, particularly in the set-phrase "prelude to an insult" (this has even been the title of a book and a song). Preface still seems more common outside of that particular usage, and a little more neutral in terms of connotations (whereas preamble feels legal and stuffy due to its association with things like the US Constitution, and prelude feels elegant and possibly snooty due to its musical meaning, either of which might be desirable depending on usage).

In short, it doesn't appear that there's a single agreed-upon term, though several would be widely-understood. You could also call it something like a "preemptive pacification" which would be fairly precise but isn't particularly familiar.