But to learn about it just as he is about to represent New Zealand at the Gallipoli commemorations makes it utterly mortifying.
It denigrates the occasion which has taken on a quasi-spiritual dimension.
The only thing funny about it are the inventive little clips appearing on social media.
Clips of Key saying they were just "horsing around" weren't particularly smart either.
The pony-tail story is already spreading around the world.
We've already had Aussie radio stations calling our office to talk, delighted to be able to put the boot into someone else's Prime Minister.
Tony Abbott has made two visits to New Zealand this year, in February and earlier this week, and Key scrubs up very well next to Abbott.
He is confident, eloquent and is clearly comfortable in the role, so comfortable that he loves testing and breaching boundaries.
It is all a matter of fine judgment.
"Going too far" is part of Key's deliberate trade-craft as a Prime Minister.
He does things ordinary people might do but that have shock value because he is Prime Minister; such as walking flamboyantly down a fashion catwalk; talking about vasectomies at post cabinet press conference; hamming it up with drag queens at the Big Gay Out; and telling UN ambassadors about how Bronagh filed a tax-return with stud-screwer as her occupation.
That's why when we read the anonymous account of the pony-tail pulling on the Daily Blog website this morning, we all knew it was true before we got the PM's confirmation and apology.
It was too stupid not to be true.
The waitress captured Bronagh perfectly, clearly the more perspicacious of the first couple, the one who can tell when someone is not flattered simply to be in the presence of the PM and, sadly, the only person it seems who can tell the PM when is embarrassing himself and others.
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