There's a reason: his show is brilliantly scripted and serves the same function as the more standard Palace structure. He plays a non-magician who's forced to perform when none of the (three) scheduled acts show up. It's tough to blend comedy and magic -- most magicians are better at one than the other -- but Dana's show is hysterically funny and magical, and his various magician characters all stand out.
(For a glimpse at what happens when a comedy-magician gets angry, PLEASE check out Patton Oswalt's "My Weakness is Strong" special on Comedy Central. You won't regret it.)