There are plenty of things that need ironing out, but I’m still open to seeing what else Mulaney has in store. But hopefully, if I decide to call in again, it won’t be a waste of the whole world’s time.

“With this show, I begin the search for the real Stephen Colbert,” said the former host of “The Colbert Report” as he welcomed the audience to his new show. “I just hope I don’t find him...