Son. Dad, have you seen the latest K.P's NSFW video? It is totally funny!
Dad [looked up wrong edition, puzzled]. Hm, do you mean that head on the plate ?
Son. No, rather how she eats that leg!
What would you say then?
I'm with Pascal for direction.
There's two aspects to this conversation. The first is the immediate subject of the conversation - a video that is NSFW and could be deemed inappropriate and should be addressed. The second is your son's desire to share what he finds funny with you and bond over it.
You may find the desire to move past this video quickly or to quickly address the video as inappropriate to be strong. It's uncomfortable to talk about this type of content and, for many parents, this type of video is a serious problem for a 9 year old to be watching.
Engage with your son on why he thinks it's funny first. It is important to listen to your son, hear what he has to say and show that his point of view is seen and listened to - even if it is a wrong or in need of correction.
Address the content second, after you have listened to your son. If you have issue with the content, you must address it. Do so in a way that is focused on the bad content, not on the choice your son made. You conversation might go something like.
Son. No, rather how she eats that leg!
You: I see, why do you find that part funny?
Son: Well, it just is, it's just so funny.
You: I really like to see you laugh and enjoy these videos. It makes me so happy that you want to share what you like with me. This video, though, is not something that I find funny and I don't like how it share why you don't like the video. I'd love to watch some more videos with you, but do I'd like to make sure that it share what values you want to encourage.
Son: Ugh, I think that's stupid. It's not a big deal.
You: I understand you don't think it's a big deal but this stuff really bothers me and I don't want you to watch this type of stuff either.
....So on and so forth....
In terms of punishments and ultimatums, if this is a first time thing, lay out the rules and expectations first. - Watch only with you, or during certain times or not at all. Whatever you see as the wise choice for your child. Punishing him for something he didn't know was wrong is inappropriate in itself and should be avoided.
Hope this helps!
How about asking your son why he thinks it's funny, and then taking it from there, depending on how he answers?
I don't think you have to make a big issue out of this, but taking the time to talk to him about why he's attracted to that video for a minute or two and telling him what you think about it might be a good idea.
He's still young enough to see a role model in you. So if you first ask him about what he thinks, and then tell him how that differs from what you think about the video, that's an opportunity. You could also ask him why he thinks someone made a video like this, and discuss this with him.
If you do this often enough, in short sequences whenever the opportunity presents itself, it will help him to interpret and classify online material.
I'd have argued for keeping questionable material away from him for a bit longer, but obviously that train has already left the station, so the only thing you can do now is teach him how to think about things he sees online, and make sure he keeps coming to you and telling you about things he sees that worry him.
Another thought in that direction: Maybe he didn't really think it was funny. Maybe tellling you it was "totally funny" was his way of asking you to talk to him about it. But that's just conjecture from where I stand.
As an immediate action I'd leave it behind as soon as possible so he can forget about it. "It was funny, but let's watch together this funnier cartoon..."
Then you need to avoid leaving your kid alone on YT or any other internet service without any supervision. It's too easy for an image or a text or any other medium to circumvent filters. If you cannot supervise his internet browsing, than ban it altogether.
And talk to him everyday. About what's happened nice today, and what hasn't. This is the only way I've found in order to know what's really up in mi kids' life.