Why don't conservatives have much sense of humor or enjoy comedy?

How silly!!  

For conservatives it has to be intelligent humor because saying fukk in every sentence is not enough.

Nobody likes being lampooned - and conservatives are such easy targets.

Insufficient amount of suffering?
Kidding folks!!!

I guess you have never seen Last Man Standing or the new Roseanne? 
We like comedy but think it can be done without being vulgar. 

Some conservatives apparently prefer comedy without vulgarity.  (vulgar---lacking sophistication or good taste; unrefined)

And yet they are perfectly accepting of Trump's vulgarity as long as it doesn't affect his "policies."

The phrase "hubris" comes to mind.  (in Greek tragedy,  excessive pride toward or defiance of the gods, leading to nemesis.)

For the same reason liberals don't, I would say.

Seriously, I think most "comedy" TV relies too heavily on laugh tracks.
If they have to tell you when to laugh - it wasn't really that funny.

Of course, I find most shows like "America's Funniest Home Videos" less funny than unsettling.