As of this week, apparently he does. Here he is with his first guest Bob Einstein, AKA Super Dave Osborne:
I saw Macdonald at Helium a while back, and it was pretty tremendous, so I’m willing to give this show another shot, even though the first episode is almost incoherently aimless and the sound is terrible.

Do yourself a favor and watch Speakeasy with Paul F Tompkins (who does some seriously heavy lifting on Comedy Bang Bang).
http://www.youtube.com/watch?v=JmDhcDXgZfA…
“Aimless”? Do you know anything about Norm Macdonald?