The comment was met with stony silence from the rest of the table - as did Jenner's cheerful insistence that "Trump has been quite good when it comes to trans issues!"
As the dinner wore on, tensions rose between Jenner and the guest seated directly opposite her, actress and TV host Amanda Seales.
Several times, when asked different lines of questioning about her conservative political beliefs, Jenner responded exactly the same way: She doesn't believe in government intervention. She thinks that the government is the worst-run business in the world.
"You know you're saying the same thing over again, right?" Seales asked, clearly frustrated.
Sensing she didn't have the most receptive audience, Jenner retreated. "I don't want to talk any more. I think it's getting hostile," she said.
From there Seales delivered a blistering speech directly to Jenner, offering her perspective as an African-American.
"I have had NOTHING of similarity to your experience in this country. Literally nothing. It's an insult to me that you are not listening to what I'm saying," she told her.
"And I'm not hostile - I'm passionate. The reason I am so passionate is that I have had a different experience in this country than you, because as a black woman the government is so much in my life."
Jenner was stumped. "I don't understand, I just said I believe in this country. And you don't?"
"You can say that in a way that I can't. This country is here for you. This country hasn't been here for me in the same way, sis," said Seales.
There were plenty of other jaw-dropping moments through the dinner - Cho announcing that she's "so sick of white people" while sat between an uncomfortable-looking Perry and Jenner, another of the guests referring to Jenner as "he" before Seales quickly corrected him, Jenner defending Trump to the bitter end ("The Russia thing ... I think there's nothing there," she said at one point). Seales, however, was the star of the show.
On social media, the reaction was unanimous: Forget Real Housewives, the Katy Perry livestream is where the drama's at.