It's nice that the controversy got a national airing, if only for a few seconds. But I'm not sure about the actual joke.
Mentioning the apology obviously indicates that Victoria's Secret did something wrong. But the punchline seems to indicate that Natives overreacted to the headdress. That's not a message America needs to hear.
Since the Victoria Secret's images raise the specter of violence against Native women, it's tricky to make the incident into a joke. Maybe something like this:
Said one Native American, "Thanks for the 'honor'...not."
It would've been good for the show's diversity too, since SNL rarely features anyone who isn't white or black. But that's thinking too far outside the box, I'm afraid.
For more on Saturday Night Live, see "Eskimo Susie" in Saturday Night Live and "Settlement" in Saturday Night Live.