I’ll second that. There’s usually an ingenue with a love interest, and she’s not treated badly. It’s only the wonderful Margaret Dumont, and that’s not mistreating her as a woman but as a society snob.
If you prefer movies where the humor exists with a real plot, then start with Night at the Opera. If you prefer pure comedy, start with Duck Soup. I prefer the latter, since it never stops for a love story or romantic songs, and its attack on mindless patriotism is still valid today. (Especially the last bit.) Then the SJ Perelman influenced movies, Horsefeathers and Monkey Business.
Then probably Day at the Races, then the first two, which are really dated, being based on their shows and filmed with static cameras. (But with Captain Spaulding.) Watch the later movies only to be a completist, they are neither very funny or very good.
I think it is that they developed their characters for short vaudeville skits, and really worked best in that format – that’s why their films seem to be pieced together from a dozen skits.