Since I spent a lot of time on The Site That Shall Not Be Named as a teen, I don't really find offense in any joke per se. Still, while I was since growing up I was quite the social libertarian, since reading about transgressive art (which offensive humor falls under) and getting a sense of the world, I've had more of a perspective on it.
I still have quite a wide view of what is allowed to be joked about, but whatever you say will be met in the world. There's a difference between the principle of speech and the principle of pragmaticality and even politeness. I can have all the right in the world to invite people over only for me to screech and poop on the table, but I should accept if they don't want to come over anymore. I have the right to poop on my table, and they have the right not to be my acquaintance. They're not worse people for not accepting everything I say and do, even if it doesn't hurt them.
More seriously than maintaining social relations, there is a sense of pragmaticality in speech. Speech is power, and speech projects power, and it can be projected in ways that hurt people. There is an ethical aspect to humor, but it mostly boils down to "how does this actually negatively affect the world"; Borat I don't find offensive, since while crude, the target of the humor is falseness and nasty undercurrents in US society. One is free to joke about whatever, but that does not guarantee people a platform or that I am not to exercise my own free speech and criticize things for being senseless. And today there's quite a bit of weaponized humor and weaponized irony whose intent is to strip people of rights. Earlier, the jokes were sincere, but since overt racism has become reasonably unacceptable in the mainstream, hate groups default to irony instead. One can joke in that manner, I guesss, but doing it publicly may relate itself to horrifying speech. Like, it is clueless to align oneself with the kind of humor utilized by dangerous people. And if you don't want to be associated with these people, perhaps stop acting like them. However ironic I might be, if I have memorabilia to Stalin, I can say it's as ironic as I want, people are not idiots for thinking something is sus.
I have no idea what to say to the video in particular. On one hand, it's clear he's being ironic about the horrors that Romani people suffered. On the other hand, most Europeans are seriously racist against Romani people, cluelessly so, while understanding racism against Jews, blacks, etc, is wrong. A joke like this can reveal such a discrepancy in people, but will the people I know that have dark views of the Romani go home after such a joke, rethinking their position? Racism against Romani is really, really ingrained in Europe.
The Jehovah's Witness thing about knocking on the wrong door like an idiot was less offensive. I didn't find it funny either though since the missionaries-are-annoying/amusing-when-they-knock-on-doors trope is so overused I don't find it funny at all.