For the most part Canadians DO realize that it's a comedy show. It's Quebec that doesn't. Think of it this way: if Conan went to, say, the deep south and made a bunch of off colour jokes about Blacks, you'd be sure to hear something about it, wouldn't you? Same thing here.
This sort of thing IS a huge issue for the Quebequois because they're looking for any reason to separate from Canada. They've felt oppressed and isolated for ages. And to be honest, for a long time they were treated like the dirty, uncultured, backwoods cousin that the rest of canada didn't really talk about or pay attention to for close to 100 years.