The moment Secretary of Defense Pete Hegseth began berating the military officials assembled at Marine Corps Base Quantico last week, he set Saturday Night Live up for an alley-oop. With his clenched fists, hot temper, and stars-and-stripes pocket square, the former Fox News host—as SNL was eager to point out at the top of its 51st-season premiere—did enough self-parody that Colin Jost didn’t have to add much to nail his take on Hegseth. Jost simply ratcheted up the volume and the attacks on soldiers’ physiques. With its cold open, the sketch series pulled off one of its most consistent tricks: identify an absurdity emanating from the political establishment, make the party responsible say the quiet part out loud, and wait for the headlines and social-media posts to roll in.

But if the sh

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