I don't think he does laugh at himself, though. I think it's just an extension of the ego - as long as he's got some sense of control, then it's fine. He's far too keen to be seen as a 'funny fellow' to let any offense show in public. I imagine he's much less genial about others laughing at him behind closed doors.
This is just the impression I get, obviously.
He makes me twitch, tbh.