Oh I love Monty Python, but like a lot of British comedy, it's definitely bizarre. My favorite from the early 2000s was a BBC series called a League of Gentlemen. Disturbing, and many would certainly not get it. But so, so funny.
I only speak Finnish, English and Spanish at a high level, but I studied French, German and Swedish in school. And I understand Catalan pretty well and was able to have simple conversations in Catalan when I lived in Barcelona. I really want to add Italian and Portuguese to my roster, they'd be easy to learn.
So far I'm only doing comedy in Spanish, but the same jokes will definitely not work in all three exactly because of the cultural differences you mention. It is fascinating. I was funny in Finnish growing up, but I have no idea what Finns find funny these days so I wouldn't dare try it right now. I've been abroad for 15 years, and it takes a toll. I'll probably start doing some shows in English here in a couple of months though, so we'll see how that goes!