Its Implied when he is in Dallas under orders from Nixon at the time of the shooting, the film just went a bit further with it. in before watchmen its disproved (kind of) because the the comedian was friends with the Kenedys and investigated Moloch after JFK was killed
Maybe he was there to stop it, and, obviously, didn't. He decided, "Well, the president's dead, I ****** up killing his assassin, and I'm the one standing here with a gun. I should probably get the **** out."