I don't recall Thor proving much to any comic relief or personality in any of his movies. Its the avengers movies where he's a comedian.
He's been pretty much the main source of comedy in his own movies. From slamming the coffee cup on the ground to demanding a dog or cat "large enough to ride into battle!"
The comedy comes from him either misinterpreting a situation (fish out of water) or reacting "incorrectly". In this case (being over seeing Hulk in a gladiatorial arena), it's the latter.
People act like he's cracking jokes like Deadpool or Spider-Man.
Fred.