I don't see how he is one of Jeff Rollins' favorite hosts. However, this show is not one that I recall him commenting on the next day, which means he could be taping it in some way.
I don't know what time zone Jeff is in, but on normal days his show starts at 9 A.M. Eastern where I live. If the usual morning DJ has the day off, sometimes he is already there by 8 (though he's always there; it's up to the individual stations how much of the show they should air). And he could be earlier than that because I don't even turn on the radio before then. If Jeff is in the west that means his show starts at 5 A.M. or earlier. Craig Ferguson would be on from 12:30 to 1:30, I assume, even in his time zone.