That advice is: if you don't understand something, say it. As much as embarrassing this may feel at first, it'll get easier with time and will certainly pay back. I know why I didn't do it at first: I didn't want to be viewed as a "dumb foreigner" who can't even speak English. Now that I've lived here for a while and feeling like my English is good enough as it is, I don't need to prove this point to anyone.
I think it's just normal not to know some words, not to recognize the well-known names and titles (because often they sound different from what they do in my native language) and not to get some jokes. In moderation, of course.
I've received various reactions to me admitting I didn't know a word or two:
disbelief - my infamous "Taylor Swift minute of shame"
adoration - "Oh it's so cute that you don't know what XYZ is"
admiration - "No worries, your English is still waaaay better than my XXX language"
As to the reasons why I think if everyone who doesn't know, doesn't recognize or doesn't understand stuff they are told should pause and ask, here's why. You avoid possible embarrassment in the future, when the conversation continues to refer the object of your ignorance and you are asked to express your opinion about it. You learn something new. And hey, it makes you look cute :) jk