Back to the sketch.....Sure the audience members laugh at the "Always Be Closing" line - but I think that's because the players like Seth Meyers can't help but giggle. Maybe I'm wrong? And...the live audience is smarter/more savvy than I think? They seem to be laughing at how harsh Baldwin is to the elves and not at the parody? Overthinking it? Maybe.
Elf you! Go home and play with your kids!