One thing I notice which is kinda great about Sly is he always seems to include Dolph when he notices he's getting a bit too much of the questioning. Sly has had this rep for a while that he's kind of unapproachable or "holier than thou". He seems to be genuinely fond of Dolph and its cool to see.
If he wasn't he wouldn't have invited Dolph to do all the PR tour with him especially when there are so many other names in the film and Dolph isn't his main co-star. I can tell you when I visited the set Sly wasn't joking around except with Dolph, they couldn't help cracking jokes between takes and watching the playback on the monitors together. Sly respects tough guys but he also respects intelligence, Dolph has both so it makes Sly pretty struck, and like Dolph said many times when trained so much for months like they did on ROCKY IV you can only become close friends.
That SNL parody was horribly unfunny, though there's nothing really unusual about that - standard SNL. Sadly it's only The Lonely Island that ever makes anything good for that show.