It's just.. well, tittilating. Because they seem so dissimilar at first sight, and there's the whole "I wear a dress but I'm one of the straightest characters in this show" thing and all those implications of upper-crust indiscretions with the help and such..

And because it's so much fun to screw with their minds. They just don't take things with the same 'we're all mad here' aplomb as, say, Pierce.