You're putting the comma in the wrong spot.
This is causing you to parse the sentence wrongly. Consider the following:
"Why is it that, in a first-world country, we have second-class citizens and discriminated individuals?"
Notice how the sentence is grammatically valid when you take out the interjection. In the examples you provided, none of the sentences make grammatical sense when the interjection is omitted, which is a good way of noticing that your sentence in not grammatically correct.
However, when writing speeches, pronunciation can trump grammatical correctness.
I placed the commas in a place that makes grammatical sense. However, since you are writing a speech, it can be considered correct for you to introduce different commas. Not because they are grammatically correct, but because they indicate that the speaker should pause at the right time.
In that sense, it would be correct to pause where you originally put the comma:
Why is it [pause] that(,) in a first-world country, ...
To prevent the speaker from pausing in the wrong spot, I would agree that it is acceptable to only use the "pause comma" and omit the "grammatical comma".
But it's important to note that this does not change the grammatical structure of the sentence itself!
2. Does it need a question mark?
Grammatically speaking, it is a question. Grammatically, this does need a question mark. However, do also consider another example:
I wonder if you are hungry?
Grammatically, this is not a question. It is a statement. However, a question mark is accepted here, because it telegraphs to the listener that he should answer the indirect question.
When you consider that this is a speech, there is again an argument to be made that the punctuation should guide the speaker's pronunciation instead of ensure grammatical correctness.
Only use a question mark if you want the speaker to use an inflection at the end of the sentence. For speech writing, pronunciation trumps grammatical correctness.
You said that this rhetorical question is also a statement in and of itself. This may be key to answering the question: would phrasing it as a question not wrongly imply that this fact is up for debate?
Grammatically, it should be obvious that the speaker is questioning the why and not the fact itself, but that distinction may not be as clear to the audience. I would play it safe and avoid the inflection, but the decision is yours of course.
3. I would put "we" before the interjection.
Why is it that we, in a first-world country, have second-class citizens and discriminated individuals?
This stresses that we are in a first-world country.
It also makes the interjection sound more spontaneous, e.g. as if the speaker said "we" and then realized (on the spot) that he needs to disambiguate between "we humans", "we Westerners" and "we British" (as an example).
This makes little sense from a grammatical point of view, but it does work in a spoken context. As you are writing a speech, you should primarily observe the spoken context.