I'm mostly with you on this.
Chevy Chase is a bumbling egomaniacal asshole in real life. He had the capability of spinning that into comedy in his early years. If he tried to play a character that wasn't in his wheelhouse, it was a humorless flop.
Bill Murray has better range as an actor than Chevy, but his best characters were also bumbling egomanical assholes.
Steve Martin's best characters were also bumbling - including his stand-up - but was lighter on the egomanical asshole. I give Martin more credit on the "humor", though, because he did have a successful run as a stand-up comic and "The Jerk" is one of the greatest comedies of all time which he also co-wrote.