Interesting fact of the day: A gravitational wave, having energy, also generates its own gravitational field in addition to itself. Though this field is insanely weak.
Note this is not the same as saying a gravitational field has its own gravitational field. It is only the wave that has energy, and thus its own field. A gravitational wave only occurs when an object with a gravitational field accelerates (and orbiting another object counts as acceleration).
Well its a hard thing to test experimentally.
But the reason here is just energy, gravitational waves have energy, so they must have their own gravitational field.
To be honest he probably was trying not to roll his eyes tok hard as he wanted to encourage you to remain curious and explore.