The pair also moderated Fox Business Network's November debate.
"What others do will not affect my decision-making process," Mitt Romney's son added.
"Even if I deserve it, they can’t do it.”
Fred Malek said he hopes David Vitter's loss teaches Republicans a lesson.
His ad seeks to counter his rival's ad that said he "chose prostitutes over patriots."
The ad compares John Bel Edwards' military service to Vitter's scandalous past.
Louisiana's lieutenant governor is backing the Democratic gubernatorial nominee.
McConnell said despite their past, he's happy to see change in Kentucky.
The Tea Party favorite beat out Democrat Jack Conway.
He narrowly lost election to the Senate last year.