It means they see value in the humour. I would also say appreciation of rather than for

Here it stands as a synonim for "attentive consideration" for a subject -- with an important stress on the ability of the person to understand (likely due to his/her experience and studies) the real matter of that subject. If I can "appreciate" the details of an object, this means not only that I see them, but that I also know their purpose (likely due to my experience with similar objects). So even, you might receive an aswer like "Thanks for appreciation" sounding like "Thanks for your interest in our activity" -- but, especially together with an explanation of why something you wanted COULD NOT be done, it means a formal and kind way to say that you have to accept the negative fact, nice or not.

I think the meaning of appreciation here is part "understanding of" and part "finding value in". When a person appreciates art, or humor, often the meaning is that they understand it but also view it as something valuable.