It's strange how running for President can change people, and inflate their egos. Before Trump started his then-quixotic bid in July 2015, he seemed to have a much thicker skin, like he didn't take himself so seriously and rolled with the jokes that were made at him.
Now......
Anecdotally, Anthony Jeselnik said Trump personally thanked all the comedians at his Comedy Central roast and told Jeselnik how much he enjoyed the experience.
Note that the punchline of one of Jeselnik's main jokes was "nobody will be sad when you die of cancer."
He definitely used to have much thicker skin, to his credit.