Right, even in comedies villains tend to be (and I think should be) scary and threatening. That's not say that comedy villains need to be on the level of the TNG-Borg or the Shadows, but even No Heart in Care Bears was a legitimate threat with the power to do ... whatever he was trying to do. Was he trying to take over the world or something? Make people unhappy?
Anyway, despite Ghostbusters being a comedy, Gozer was a serious threat with the power to destroy the world and he needed to be for the movie to work. If the villain had been The Box Ghost from Danny Phantom the film would have lost something very important.