I'll take a crack at the jokes. I don't think they're supposed to be funny.
Etudes are used as a study for the composer, not the performer, so a performer wouldn't practice specifically with them.
The Schumann joke is odd, I don't really get it. He wrote "Scenes From Childhood," a set of pieces for which he apparently wrote a bunch, but he wrote plenty more piano pieces.
I think the "Fantaisie Impromptu" joke is really just that the piece begins and ends with a prolonged G# in the bass.