That's a great question, Leanne. I have a vague sense that M/S may have shared a chuckle here and there, but I guess the line of business they were in must have dampened their sense of humor a bit or they just had a dry sense of humor -with not much laughing accompanying their jokes, especially Mulder.
They definitely found other ways to bond of course.
But now, I'm going to be more on the look out for laughing scenes, that's for sure.
Just watched this scene during my S6 rewatch.