If I had to it would it would fuck up the joke. Like if Michael Richards had to explain to people that he wasn't really just using the "N" word. That he is really just a character. He was just trying to shock you. That you are supposed to laugh at how inappropriate he's being.
Or like Andy Kaufman I just need you to laugh at the stuff that isn't funny. I am not certain that you really need to be let in on the joke. My job is to continually push forward the line of acceptable behavior until blowing yourself up in the middle of a romper room on Christmas Day is considered passe.
It's the only way we are going to win the War on Terror. So let me do my job. Peoples lives are at stake.