In his previous shows Dara has mainly told religious jokes about Catholics or the difference between Catholics and Protestants. Because he was raised a Catholic he belongs to that community and so is able to send it up in a way that another comedian could not. It also allows the audience to laugh at the jokes without feeling guilty. If a comedian who was not part of the community made jokes about them it might lead the audience to think the jokes were not good-natured.
In the third video Dara does make a joke about two communities that he does not belong to: Judaism and Chinese. However, his exaggerated use of cultural stereotypes shows that even though he may not know anything about those cultures outside of their media stereotypes he does not mean them any harm. The audience is able to laugh because they share in the consumption of the stereotypes in the media and recognise that he is making fun of the image of the culture, not the reality.