It's not exactly the same thing but a lot of good comics are pretty bad at comedy movies in general (all roles, not just direction).
And aside for a handful of Nouvelle Vague critics from Les Cahiers du Cinéma and some similar cases for other New Wave movements elsewhere, going from criticism to worthwhile directing is not really a thing. And even then it was probably more that criticism was the side hustle all along.
I like them a lot but let's be honest : there's some production value to their videos (editing and pacing are the strong point IMHO) but it's not slick, pretty sloppy in parts (I remember some jarring lack of homogeneity in grading between cameras for instance) and not always on purpose. The whole is generally very endearing and works but it's a far cry from actual film.