Excellent question. Gravity is well understood on the macroscopic level but not so well understood on the quantum level. Things like light have a dual nature, existing as both a particle and a wave when observed at a quantum level, gravity is expected to have this dual nature as well but so far we have not detected a "graviton" which would be the gravitational equivalent of a photon. Ovbiously Bill knows this and has reached the logical conculsion that Jebbus has tiny little invisible stings tied to everything and uses those to keep planets in orbit, create tides and perform other gravitational duties.
Yes. We understand the behavior of matter as a result of gravity - we know how it works, but cannot yet explain why it behaves as it does. We discuss it using the Einsteinian explanation/analogy of the curvature of space/time in the presence of mass, but as t8 points out, have yet to find the proposed particle that would carry the gravitational force.
It's a long way, however, to go from saying we don't understand it yet to saying that it is not understandable or knowable. O'Reilly seems to embrace his/our ignorance - instead of looking forward to discovering more about the universe, he's happier ascribing it to divine intervention and not having to think about it anymore.