I have always read that Franken was a prick to everyone he worked with. Just look at his performance as Senator so far. Dumb comments, doodling and napping during hearings, the Rush book. He will get his in the next election.
Never mind any political leanings....He just comes off as a jerk on the show. Character always comes through. Besides, I thought Franken was more a writer and behind-the-scenes kind of guy, who let his ego talk him into getting in front of the camera.
Dunno about the political leanings of other comedians on SNL, other than Victoria Jackson. I know a couple of stand-up comedians (local, not anyone that you've heard of, unfortunately) ... and they're very, very good at reading people. I can't imagine that Sandler, Spade, etc, are any different. They may just be feeding their audiences what they want to hear.
Or, they may just be smart enough to keep their mouths shut about politics. Conservatives watch TV, too. :-)