It still is a harmless question to ask IMO. Punk left ROH in 2005 and judging by what the guy said, he did watch pre-WWE matches, but never paid attention to entrance themes or anything. I don't think it's reasonable to give a catty response or say he lacks a brain over something like that.
If Sting came out to Turbo Charged or even The Man Called Sting, people would be just as puzzled.