In games where the player character has a specific goal - save the Princess, escape the testing facility, defeat a nemesis - the player is presumed to share this goal. But even if the narrative does a good job lining up player motivations and character goals, there's still a wrinkle. The character wants to accomplish something, and the player wants to experience accomplishing that thing. This is why we bother playing games at all, rather than just watching the endings on YouTube. If the player had the exact same motivations as the character, they'd cut whatever corners they could to beat the game as quickly as possible.
The humor in this video comes from the tension between Mario's goals and the player's goals. Of course Mario would want to just warp straight to the Princess and save her immediately. But for the player that would mean skipping the entire game, which would completely defeat the purpose of playing it in the first place. As long as Mario has that warp whistle in his inventory, there's dissonance between what the player wants to do and what Mario would want to do.
So what happens when games create that dissonance on purpose?