If you listen to the interviews with Leno, she is asked a similar question, but replies she has been in the limelight growing up as her mom was mayor..and says this is not new.
I know Leno to be a good person, she was comfortable with him. I doubt she will be going on Letterman, however :)
Don’t I remember Letterman wishing rape on the Palin children as a “joke” on his show? These people are insanely evil.