Can you help me to better understand what the sentence means?
Now, this is definitely a tricky sentence, partly because it has a slight double negative and there's a bit of ambiguity.
That is, "not lost on" means that the audience did see or understand something. What did they see? The effect she had on others. But what is that effect?
We don't immediately know what "the effect she had on others" refers to—this is the ambiguity. Is it a positive effect? A negative effect? Well, we know the audience members are standing up to leave, so they must see some negative effect. But what exactly is that effect, and who are the "others"? Probably audience members, although it's very general, and again, ambiguous. The trick is that we don't need to understand the whole story; we just need to understand the relationships between blanks!
All that matters is that the comedian has a negative effect, the audience sees that and leaves, trying to ________ (send a message), but the comedian is so ___________ (oblivious) that she can't _________ (discern) the audience's reaction.