I agree with you that, when someone goes to knowingly watch a comedy performance, anything is fair game. The audience should prepare to potentially be offended, and they are there voluntarily.

When a comedian branches out into a different public venue, however (outside of the sanctuary of their comedy club) -- THAT'S where they are fair game to be held to the same standards as anyone else. They don't receive "blanket immunity" in life just because they happen to perform as a comedian some of the time.