As much as I dislike the Duke and think that he's a total douchebag... that was a rather funny conversation.
Like, if there was never any affair, and they were just talking about their own sex life with one another, this would be a sweet conversation because they are being so casual about it.
Like, look at that! They are finally TALKING to each other. No politics on the table or the like.
Of course, because of how the circumstance is, it's a bit annoying that the Duke is acting like he's some victim and trying to have a laugh, while blatantly ignoring how much he made her suffer.