Partly it's diplomacy. She has to keep working with him in the Senate.

Partly she says he's her friend because it defuses any possible argument that they're being petty. If there was actually a recording of him making that joke, that would be huge. Without that, the people who like McCain will give him the befit of the doubt about whether or not he actually said it, then get mad at anyone who attacks him with it, as if they were making a personal attack on him.