That was pretty funny.
But I noticed in the US you have stricter TV censorship. You can't say "fuck" or "cunt" or regular TV like you can after 9pm in the UK.
When I watch the Paramount channel in the UK the shows come from the US and they have words like "bitch", "bastard" or "ass" censored out. Which can be on UK tv all day.
Conan didn't look pissed off to me though. He just seemed a bit shocked at Sacha's crude humour.