First let's describe an oxymoron. An oxymoron is a literary device where two words or concepts are put together that are opposites. On the surface, this juxtaposition of words may not make too much sense, but it does cause the reader to pause and think for a bit. That might actually be the point of an oxymoron. Oxymorons usually challenge our sense of what is possible and by doing so make us think. This is important, because life is filled with paradoxes that seem like contradictions, but a little reflection makes these things perfectly clear.  For example, "joyful trouble" may seem like a contradiction, but there are a lot of "troubles" that are actually joyful - like studying, hard work, building friendships, etc.

I believe that the purpose of an oxymoron in a piece of writing is to cause the reader to think and, perhaps, to call attention to the idea set out by the oxymoron.

When you are reading and you see an oxymoron, you get taken aback for a bit.  You look at it and wonder "why would you use those two words together?"  So that makes you actually think more about the passage than you might otherwise.  That will also make you notice the line more than you otherwise would have.

The line you cite is in Act II, Scene 3.  Macbeth has killed Duncan, but no one else knows it.  Macduff tells him that hosting the king must by a joyful trouble.  In other words, it's a pain, but it's worth it because you get to hang out with the king and maybe make him like you.  Shakespeare uses the oxymoron to call attention to the irony here -- Macduff is telling Macbeth that it must be nice to have the king there and Macbeth has already killed the king.