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Mikey Day is a writer and you write yourself onto the show. So he probably came up with the concept of the sketch and cast himself opposite her (along with the other new cast member who he had roles in all of his sketches). It was a self-deprecating sort of thing and comedy writers tend to be fine with self-mockery.

Yeah, that wouldn't have worked with any old female host.
But it worked with her and was funny.

It was just one of the "Margot Robbie is SOOO HOT!" Sketches. Not much more to it than that, but I did find it laugh-worthy at some points.

I think you are missing a sense of humor.