The reason "the real joke is always in the comments" is because it's way easier to add comedy than to create it from nothing. This is why your hilarious friend can't just go on stage and do stand up.

Edit: I think some people are getting the wrong idea so here's a comment where I explained a little more:

Comedians have to go on stage and build a world. Set the table, provide context, and nail the punchline. Repeat. The funny friend is reacting and commenting on what's going on, and the shared experiences you have. The set up is already done. You couldn't go on stage and say "so me and my buddies were hanging out..."