J&B abandon the basement format and head for the roof. This episode first features the style/composition that serves the show so well in later episodes. There is an anchoring set of segments that narrate and provide transitions between otherwise disparate segments of video. This narration combined with usually careful choice of intervening segments acts as a substitute for the plot that life generally lacks.
In this case, the anchors are all on the roof (or what B identifies as the roof). Presumably J&B (or just B as editor) thought this visual cue was necessary; later in the series they will just use the verbal cues.
For some reason, the people featured start wanting to maintain their anonymity. Perhaps they found out people were actually watching the show.