The humour is both is character and seeing people's reaction to such a character. Either how they agree with it or are willing to be polite by agreeing verbally (despite being horrified internally) with someone who is obviously a terrible person
Far too often, the interviewee is just part of the scenery for his characters to do their thing.
People's reactions are the best bits, when he pairs "like with like" and lets the other person expose themselves. In this particular series you can see clearly based on the right/left divide in the US whether he has paired like with like (mostly the bits with the Israeli character) or has paired opposites, but you can see the same thing going back to some of his oldest stuff e.g. the old school Borat (where he was part of the Ali G show):
where it works when he finds something in common (e.g. Kazakh sexist with English sexist) and not when he doesn't connect with the other person.
That's our sense of humour though, SBC's own sense of humour is mostly just offending people which is why he pairs Nira Cain with conservatives, Billy Ruddock with liberals most of the time.