They very briefly explain the background in the segment, but in a bit more detail it had to do with a bit he did on Weekend Update, called 'First Impressions' where he showed a bunch of pictures of Republican politicians and joked about what they each looked like to him. To be clear, he also put up a photo of himself and joked about it. The problem was that one of the candidates was Lt. Commander Dan Crenshaw.
It hasn't been a great couple of weeks for Davidson, who recently had his engagement to singer Ariana Grande called off. But he handled this with great and proper verve. In fact, I also think he took one for the team. Though Davidson got the criticism and took full blame, there is no way that his monologue the week before did not get approved by the head writers of the show, by the producers and probably by NBC's Standards and Practices. So, it's even more to the credit of the goofy, self-effacing Davidson that he presented the following.
And if you already saw it, I suspect most agree it's worth a second look.