You can "speak freely in private" because it's not free speech, which requires a public space. It's like saying "I am allowed to show my face under this bag I am required to carry over my head". Yes, you are, because you're not really showing your face, as long as that bag is in place.

And why would they (the KGB) have cared (about jokes)? The venting of steam, instead of letting it build up and affect change, would have to be invented if people didn't do it voluntarily. That kind of self-deprecating humour is all over our media these days, too, we love to bring up important subjects to channel them into harmless stuff, just because we can't pretend it's not there, but also not allow ourselves to actually see it and be serious in its presence.