It does make more sense in context. Crowley isn't a stereotypical evil demon and could reasonably be considered a failure as a demon.
I think the horror comes from the thought that a being whose entire job is to come up with new and clever ways to bring about human misery and suffering is so thoroughly out-classed. The idea that humanity doesn't need an outside influence to inflict such evil is horrific. The joke is just there as window dressing to contrast the real horrors of our collective history.
I think the horror comes from the thought that a being whose entire job is to come up with new and clever ways to bring about human misery and suffering is so thoroughly out-classed. The idea that humanity doesn't need an outside influence to inflict such evil is horrific. The joke is just there as window dressing to contrast the real horrors of our collective history.