Previous studies have highlighted the benefits of pedagogical conversational agents using socially-oriented conversation with students. In this work, we examine the effects of a conversational agent's use of affiliative and self-defeating humour -- considered conducive to social well-being and enhancing interpersonal relationships -- on learners' perception of the agent and attitudes towards the task. Using a between-subjects protocol, 58 participants taught a conversational agent about rock classification using a learning-by-teaching platform, the Curiosity Notebook. While all agents were curious and enthusiastic, the style of humour was manipulated such that the agent either expressed an affiliative style, a self-defeating style, or no humour. Results demonstrate that affiliative humour can significantly increase motivation and effort, while self-defeating humour, although enhancing effort, negatively impacts enjoyment. Findings further highlight the importance of understanding learner characteristics when using humour.