So what if humans can't really grasp infinity. Can Data grasp it, either? Or is it just a mathematical concept to him, the same as it is to me.
As for a sense of humor, since Soong seemed to have one, why wouldn't he give Data one? Lore seemed to have one.
Based on what we currently know of infinity, I doubt that even Data could fully grasp it. He is, after all, still a finite being. I think the only Star Trek being that could fully comprehend infinity is Q.
That was Soong's good pleasure. God didn't give all humans the ability to play the piano or build bridges; everyone has their own talents. Soong is Data's creator, and he was not obligated to design Data in any particular fashion.