The "skit" -- it's hard to even credit it as that much -- is not designed to be funny. It's designed to be cute, charming, and likable.
This skit was written to convince people that the skit Shares Their Values.
It fails on those fronts, well, and the audience's endless "WHOOOoooooo"-ing in very fake excitement over embarrassing material makes the failure all the more notable.
This is The Guy CBS has tied its fortunes to.
I dare you to watch this. I dare you.
You will not make it through.
The only funny thing here is what I imagine will happen in the future. If Colbert gets asked about this horrific thing, he'll say of Hillary, "She was a good sport."
But "a good sport" implies you were taking cheeky shots on her.
We don't say someone is "a good sport" about taking three minutes of hero-worship and political promotion.