That is definitely a terrific example of "grace"; and some comedians lack that, and tact. She's lucky she didn't find him off-guard and that he was quick footed enough to land on his feet and yet, leave Kathie Lee in tact. Well done, Martin!
Personally, I would have wanted to correct her - not so much to embarrass her for lack of fact-finding of her guest, but rather so she knows ... now, so it won't happen again ... some of those kinds of lessons are harder to forget.