Well-received comedy is largely about "punching up": making a joke at the expense of someone in a higher place in society, or someone with more power. Political leaders. Celebrities. Big businessmen. Those who would oppress others. These are far fairer game in comedy, and people do love seeing the mighty brought low, even if for a few seconds of comedy.
"Punching down" tends to be far more poorly received since behind the joke is the notion that the person being made the joke has less power. Minorities. Immigrants. The physically disabled. Victims of crime and war. LGBT people.
Liberal policies tend to at least address the idea of helping those with less power. A conservative person mocking those policies or those the policies are meant to help comes off as vastly more mean-spirited and is more poorly received.
So why aren't there many good conservative comedians? Because skillfully mocking liberals (to the point where you're actually funny and largely well-received) is far more difficult. Sure, people on CE do it everyday, and yes it comes off every bit as mean-spirited as "punching down" would suggest, but no one on CE is a professional comedian.
Most conservative comedians I know of tend to be more self-deprecating or pointing out the flaws in their own part of society, rather than going for outside groups. The easiest outside target is the liberal white male (hippie, hipster, soy boy, etc.) who is well off and is attracted to liberal policy, which got some play in comedy historically, but it's essentially the same type of person over the decades and you can only mock a particular type of person for so long before it becomes stale.
Thank you, I was going to make a similiar post but you hit the nail on the head. ---