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Bobby Moynihan stated it was ment to be silly and absurd. Nothing else. Hes glad people liked it.

I think that was the idea here. It didn't look scary like the others and they kept repeating him over and over, which annoyed the couple. Too bad Keenan didn't say this, "They can't all be winners, like SNL sketches."

Right, it would make the joke tighter and better if they didn't feel the need to explain it. But the thing is, SNL panders to everyone in the country. An large amount of the people in the U.S. are very stupid, so if the joke isn't explained, it might fly over their heads. That's why SNL has a tendency of explaining the jokes. During Margot Robbie's monolouge, when Cecily comes out on stage, and says, "And I rode a mechanical bull," then turns to the other camera and goes, "It wasn't a bullit was a guy named beef." That joke would have been perfect if they had just kept it at, "It wasn't a bull" and kept Cecily's grinning, but they had to explain the joke. Although, I did like the touch of them having the guy's name be beef.
My favorite New York moments:

who is Kevin Roberts?
The coolest bitch in town.

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Kevin Roberts was a one-off character played by Larry David when he hosted towards the end of last season. The characters themselves really don't have anything physically in common aside from a gawdy suit, the humor just kind of lies in the general absurdity of their presence in an otherwise practical situation. Kevin Roberts was used during an FBI gun training segment where his ambiguous persona confused Keenan as to whether or not he was supposed to shoot at the target. He had kind of a 1980s Max Headroom aesthetic.

who is Kevin Roberts?

It was a ripoff of Kevin Roberts.