I think most Brits are familiar with SNL (in fact we used to have our own version, Friday Night Live in the 80s), but I don't think people are that familiar with the SNL cast. If they'd introduced him as "From Saturday Night Live..." it might have added a bit more oomph.
That's being slightly economical with the definition of "sold out" The upper tiers of the arena were closed and hidden behind a big black curtain, which significantly reduced the capacity. Anyone that bought upper tier tickets were upgraded to the lower tiers. Therefore, most of the arena appeared to be full.
Having said that, it's a huge arena (about the same as Madison Square Gardens and Staples Center) so even at the reduced capacity it would have been about 12,000 seats sold.
If they'd gone with Wembley Arena they'd have sold out each show.