Megyn Kelly thinks Donald Trump made the right choice in walking out of an NBC interview.MEGA/Megyn Kelly/YouTube Megyn Kelly defended Donald Trump's recent controversial decision to abandon an NBC journalist mid-interview. During the Monday, June 8, "The Megyn Kelly Show"broadcast, the reporter, 55, expressed how she agrees with the president's choice to leave the tense conversation. "I gotta be honest, I don't blame him.