That's a good point, but it's important to remember that a lot of insults can carry baggage. Especially if you're a straight, white, cisgendered, upper/middle class male. (or whatever the formerly priviliged group in your area). So you might think "Oh I insulted Joe about his looks and Wendy about her looks, so it's all equal", but Joe might have never been judged as much on his looks as Wendy, so one joke might sting more.

I suppose it's like all jokes. You have to make sure not to say something too cutting to the audience.