Why is it that when a more progressive comedian tells a joke that everyone says it’s funny and doesn’t hurt anyone’s feelings, but when a conservative comedian tells a joke that it’s racist or sexist or transphobic or deeply unsettling?

Nearly exclusively from my observation modern conservative comedians are “punching down”. Meaning conservative are usually in a position of power, authority, or inclusion and the conservative joke is belittling those with little to no power, authority, or inclusion. Contrast this with most progressive comedians that are “punching up” where they are calling out the powerful, putting down the authority, casting the included myopic.

Perhaps a better way to answer your question is to re-frame it:

“Why is it celebrated when the bullied stand up and punch their bully, but when a bully punches someone they are bullying it is deeply unsettling?”

The answer is obviously that bullying is wrong.