The Camera

because that's what "That show" was about.

the first "skit" was about an actor who played in a cop show. she stays at a house that just so happens to be a writer who is the main character of the 2nd skit.

the 2nd skit is about a writer of a show staring mccarthy. the part of the show that was filmed is the part you saw with her and her daughter looking at a video of something. the video was about him "letting her go" in the other 2 skits. this is why she says "how could you".

look at it this way. it's two realities overlapping each other.

Well basically, that scene was filmed after those scenes seen on the video camera. Quite possibly it was the last scene to be filmed. What they did then was put the footage shot earlier onto the camera's memory stick. Or possibly, in post production, they added the video.

I wondered that too. because the pilot was made BEFORE he was coerced into firing Melissa McCarthy. They talked about him being lucky to re-shoot the pilot.