From the sociological standpoint, the collection is kind of interesting, a bit of a time capsule. What did people wear and what the hell did they do with their hair? What were they talking about at the time? That's a part of the problem, though. Much comedy turns on current events, both large and small. What was funny in the mid-1980's does not necessarily remain relevant 20 years later. One exception was Chris Rock's appearance in 1998. His riff on the impeachment of President Clinton was an inspired bit of truth-telling enveloped in invectives and remains as sharp a critique of the event as you'll find. But then, it was only ten years ago, and I remember how I felt about the impeachment very clearly. The relevance of Rock's set for me, then, is a product of the amount of time passing (not as much) and how big the news was (international).
Comic Relief was a series of benefit shows, and a part of what makes benefit shows work is the emotion of the moment. I'm sure most of America was transfixed when the 9/11 telethon America: a Tribute to Heroes aired, but watching it now would be a different experience altogether. A part of allure is watching famous people donate their time to a cause and being able to participate in that cause as a viewer. When watching a compilation DVD, there's no way to be involved. And the DVD does a poor job of putting the causes in political or chronological context.
In fact, producer Shout! Factory did not add much to help the viewer. The first DVD, with highlights of shows from 1986-1998, does nothing to guide you when watching start to finish. There are no cues when it moves from one year to the next; for this, you need the main menu, which offers you chapter selections and a performer index. The chapter selection tells you the name of each show and the year they aired. The performer index tells you whose appearances you will find in each show. But the two don't interact; you can't select a name and then go to the performance; you just have to keep track of who appeared when and hope you will recognize them when they appear.