It's a knowing jest, not a sincere statement - and a reminder to the others to keep the show going for their audience.
Of course there are also layers of intrigue going on; they are all colleagues but they must know that they’ll ultimately be interviewed to determine who was really loyal to the Nazi party, so to some extent they are probably trying to convince each other. Meanwhile the guy writing the transcript seems generally to have opinions about their personalities, and a genuine concern for their well-being to some extent, so I’m sure that colors his analysis too.