I would imagine the demographic for watching live comedy is mostly younger people who are probably more receptive to political comedy. They tend to be more left of centre than older folk. There probably are comedians with more conservative views but they don't make politics part of their routines because it wouldn't be popular with live audiences, which is usually the springboard to tv work.
Also the Tories have been in power a while and it's always the incumbent party who get the most attention.
I don't watch live comedy much these days but my impression is that most stand ups do personal, observational stuff, not overtly political stuff, whether it's left or right wing, so perhaps there is a limited audience for political material. Plus we are in an era where people are vilified for their views so you can understand all artists choosing to be more apolitical.