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Protesters calling for a referendum on the final deal have attended a mass rally in central London.
He also spoke of his and Meghan's joy at being able to celebrate news of "our newest addition" in Australia.
The DJ was scheduled to complete 10 more shows before leaving the station in November.
The first minister said the inclusion of Steve Bannon - a former Trump aide - risked normalising far-right views.
The 50-year-old man, whose claims prompted a police inquiry, is accused of lying to officers.