One of the reasons I have such respect for David Lynch is that he's aware of the emotional connection fans have with characters, as he has also has that connection. It doesn't take away from the loss of Peggy to also mention the loss of Norma, and Ed's loss.
Thank you for finding all those videos. The awkward comedy with Kyle and Chris is fun (and probably baffling for the audience). I wonder how many watching erroneously assumed they'd be in scenes together.
Anyway, I'd never seen this. It's Julee Cruise's May 1990 SNL performance (she was hurriedly called, along with another band, after Sinead O'Connor canceled rather than appear with the pig you will see at the start).