No they don’t.
They were shocked at first, did eventually laugh and then had to graciously learn to put up with it for a while.
They have venue security stop the stupid cowbell idiots.
Seen it many times.
That ain’t “ love”.
Just because they stop the idiots with cowbells doesn’t mean they don’t love the sketch. I’ve seen them talk about it many times. They’re fine with it. They just need the audience to remember who is and isn’t in the band.