Remain mystified by Connie Chung's off-key, ill-choreographed, nonsensically lyric'ed song-and-dance routine bidding farewell to her avec-Maury MSNBC show? (Haven't seen it yet? Oh, go watch. You'll thank us.) In this morning's Times, media reporter Jacques Steinberg graciously explains. It was, as Connie insists, all just a joke. Oh really? Hmm. In this case, then, we fear Connie never learned what our father used to tell us were the first and second cardinal rules of humor: First, your joke must be funny. Second, other people must think it's funny. How we wish we'd been able to explain this to her last week.