When I watched this SNL segment, I wasn't exactly horrified, but I did feel a little uncomfortable, and upon reflection, I find it interesting that sexual assault is not usually joked about (and pedophilia almost never). Murder, yes, robbery, yes, but not rape.
Here's my guess on why that is. We can at least tolerate black comedy like "Death to Smoochy", "Murder by Death", "Alfred Hitchcock Presents" because death will come to us all anyway, whether by someone else's hand or not, and joking about it shows a bit of bravery. Also, I think most of us, for at least a brief point in our lives, have been angry enough to kill someone, and joking about it releases some of the pressure that anger generates. Same goes with stealing, or numerous other selfish acts. With sexual depredation on other hand, its a different story. It's harder to rationalize, even in jest, someone "deserving" sexual assault, not like killing someone you despise, or stealing you think you're entitled to, plus you'd be doing something to someone that they would have live with, and taking something that could never replaced.
Now it's not my place to judge the people who laughed at this monologue, (to those who DO judge them, you are not God, and you are not mind-readers). But I'm okay with keeping sexual assault, especially on children, a taboo subject, even for comedy.