Huh. Well I know humor can be subjective, but I'm a bit surprised that wasn't worth at least a chuckle for you. I mean, they nailed the makeup, CNN is wearing a diaper, she pulls out a super soaker. Honestly I thought it was pretty spot on.
It might have been somewhat better if it wasn't for the idiotic laugh track that was utterly ruining her delivery. ...And I didn't much like her delivery or this style of humor to begin with.
That's not a laugh track, SNL is a live show.