Avi K,
I don’t think either of these cases reflect a lack of humor, but the impact of cultural differences. If someone is not yet or only recently fluent with a new language or culture, it is difficult to discern dry humor. When making such jokes to someone who is less familiar with one’s culture or language, it would be chessed to follow-up with a laugh and, “just a joke”. Yes that might spoil the dry humor delivery, but better a ruined joke than an embarrassed friend.
I bet the Israeli you know who fell for the red light joke is very funny in other situations. Same with the American on the IDF base.