I doubt that if you pay almost half of a full day's admission to attend a world class event, you'd be so willing to just get up from the flagship show. It does give a disclaimer, but that's hardly an excuse to condone offensive theatrics. Not everyone is privileged enough to not feel unnecessary offense. Political jabs and religious remarks are one thing, but when it delves into ridiculing a certain group of people for stereotypes surrounding something they can't change, it's just distasteful.
Being politically correct isn't the goal. Being at the very least a decent human being throughout a comedy show is.