On his way to the White House, Trump mocked women, hispanics, the disabled, and anyone who publicly chose not to support him unconditionally. Granted he did so without the skill of a practiced comedian so his digs were juvenile and repetitive, mostly consisting of calling people stupid, calling them losers, or mocking the fact that they aren’t as rich as he is.
That’s probably another reason why Trump forgoes the Correspondents’ dinners: ego. He says he’s a counter puncher and this causes him to hit back when anyone roasts him. He probably knows his ham fists are no match for even the worst comedian’s knife, however dull it might be. Therefore much like Barack Obama, he jets off to speak to a friendly crowd of supporters instead.