The uproar reminds me of some of the comment I got when I told the student newspaper at UMD that Jewish men are circumcised because Jewish women need to have 10% off of everything. Some people (like the entire Muslim world, and also a few Jews, generally a generation older than me) do not understand this particular brand of humor (which I discussed here).
Another example of this type of Holocaust-related humor: One of the funniest bits of comedy I've ever seen, the "Survivor" scene in Curb Your Enthusiasm.
Another example, also from Heeb magazine: A fake Palm Pilot ad with a protrait of Elie Wiesel admonishing one to "Remember. Never Forget."
Here's another classic example:
Q. How many Jews can fit in a Volkswagen?
A. 10,005. 2 in the front, 3 in the back, and 10,000 in the ashtray.
Here's the thing: I don't think that Barr's antics are particularly funny, but that's just because they aren't funny. Maybe if it were more of a audio-visual sketch it would be funnier, like if whe were goose-stepping around the kitchen, discussing the cookies with a faux-German accent. "Und remembah: zeez cookies vill make vun fleishig."
But that's neither here nor there.
Please also note - in each of the examples cited above, the person delivering the joke is Jewish. Otherwise, it's not actually funny. It's one of those "black people can call each other nigger" things that's, well, best evidenced by the name of the magazine in question, Heeb. If the magazine would be published by, say, the UN, it would be terrible. Roseanne Barr dressing up as Hitler is not the same as Prince Whatever dressing as a Nazi. Humor is a form of rebellion (the editor of Heeb refers to the fact that, in the Warsaw Ghetto, they referred to Hitler as 'Horowitz'). Similarly, and to demonstrate that this type of humor is not unique to Jews (though we seem to have a knack for it), it is reported that as he was being grilled alive, the Catholic St. Lawrence said to his captors: "This side is done; turn me over." Had the same line been stated by one of his captors, it would have added insult to injury. Coming from the mouth of the victim, it is both funny and defiant.