Morrissey is known for a lot of things: making music, draping himself in the Union Jack and making questionably nationalist comments, swinging bouquets of flowers round and round and round, and so on. But he isn't known for having a particularly riotous sense of humour about himself. Or really anything.
Stephen Colbert, meanwhile, is best when he is piercing wholes in pomposity. Usually the great and good of American politics, but anyone will do.
Put them together, and you get one of the better interviews with the former Smiths frontman in a while.