Here's the thing with this first episode: She's filming her guest star segment on Law and Order and since she's been doing stand up and reality shows for so long, she hasn't done the "real acting" thing in years. So she's not able to get her lines right and she keeps messing up.
She's back in her dressing room and there's this moment where she starts crying because of how insecure she is and how inadequate she feels on the set. It was this really rare moment when her hard facade cracks and you see the person underneath.
Celebrities don't usually want that persona cracked, it's all about maintaining an image. But for Kathy, she seems to be able to get away with anything because she knows that doing the ridiculous brings her more fans. She's offensive, irreverent and a little obnoxious and it's for all of these reasons that I continue to watch.