So I'm leaning towards "often a polite response, but probably not in this situation."
I think if this was the first time this particular guest had been on the show and they had no idea he'd say something that was so different from their own beliefs, the response of just walking out would have been the best they could do with it.
But they invited him on the show and (as far as I know) they are the ones who brought up this topic/allowed it to be brought up. And he's been on there before from what I hear. So, I think they should have been more prepared for how to handle this in a more professional manner. They could have figured out what he'd say if they discussed that subject, and how they would keep the discussion civil.
It is tempting to think they did this on purpose-brought up this controversial topic because they knew they could turn it into an attention-grabbing mess like that. I don't know if they did or not. The other alternative, though, is that they really didn't think it through. They didn't realize that this guest would say something like what he did, based on the opinions they already knew he held and how he tends to talk about his opinions, and just randomly brought up the topic. And I think that would be even less professional than the first alternative (in as much as these things can be quantified, of course).
Basically I think that if you know you'll get into a screaming match and/or have to leave the room if a certain topic is brought up with a certain person, and you bring up the topic/don't bean dip the topic, then it's very likely you wanted to have the screaming match/walk out, for whatever reason, though I don't want to jump to any unnecessarily harsh conclusions here.