Are these bits with Ant and Dec in their houses live? There's very little delay between the two of them if so, it's actually quite impressive how it doesn't feel awkward.
Having seen the rest of the programme there was no reason why it would have needed to be done live.
However was it done in real time, were they really talking to each other? I know some podcasts recorded in two locations are done with something like Skype so there's a two way conversation, but each person's audio is recorded locally in higher quality and then sent for editing together