If you really do want to get into this:

Yeah jokes were made at Nick's expense. They're made at everyone's expense. Nick made plenty of jokes at others' expenses too, and then put on an innocent face if he ever got called out.

I love Nick, but when it comes to who it's okay to make fun of, there's some serious hypocrisy. Everyone else on the show takes it in stride and deals it back, and it seems pretty light-hearted, respectful, and healthy. Nick doesn't dish it out quite as much as the rest, but he takes playful banter far more personally than anyone else on the show, and especially if there's any form of political bent.

For instance: Everyone on this show is hyper liberal. (Yes that includes NL, and basically everyone who watches. Dan being maybe the only exception, and even then he looks more conservative than he is because he's alone) When the "we get it, you're liberal" joke started rolling around, everyone took it in stride and laughed at themselves. Everyone but Nick. Nick fucking hated that bit, because liberals aren't to be made fun of. He's one of them after all, and they're above criticism because of it. But "Barbecue Bacon Brisket tenderized by a belt-fed automatic firearm and sizzled to perfection using an M4's underbarrel flamethrower attachment" was his favorite bit ever.

I'm clearly not the only one who thinks Nick can't handle as much as the rest of the cast either. NL was doing impressions of another crew member a few years ago. He did at least one, if not two or three. And then when someone asked him to do an impression of Nick, he clammed up and immediately killed the bit. He knew that anything, literally anything he referenced about Nick would come back to haunt him.