They had a good run from the late 80s through the mid 90s with Chris Rock, Chris Farley, Phil Hartman, Mike Myers, Dana Carvey, Adam Sandler, John Lovitz, etc. Notice how many of those had success outside of SNL.
Look at their casts since then. Notice how few of them had success in anything else.
Good point! Plus, why they pay Michael Che to be on there is a mystery to me.