Responses to a presidential address basically always suck.* It's not the speaker's fault. When the president is speaking before the U.S. Congress surrounded by the trappings of power and people are applauding after every other sentence, and then they cut to you, standing alone in a large room addressing a camera... it's just hard to pull that off. They could cut to Jesus delivering his Sermon on the Mount and it would still sound flat. The best you can do is deliver a counter-message that hopefully someone will listen to.
All that said, Jindal still came off pretty bad. Telling jokes without an audience is generally a risky move, and Jindal does not seem like a particularly gifted comedian.
*If I'm not mistaken, Fred Thompson gave a pretty good response to Bill Clinton's 1995 state of the union address. Thompson's an actor who knows how to play to the camera, even if there's no audience in the room. Nice skill to have.