When we first see Napoleon Bonaparte, he's sitting in a theater in the Italian town of Castiglione while the performers do their thing just for him, bombs are dropping, the French army is running rampant, and the horrors of war are just outside. You can smell the desperation on the cast: the smiles plastered over their looks of sheer horror as they try to amuse their conqueror before he throws them all to the wolves.
Gilliam comes back to this idea in other movies, like The Adventures of Baron Munchausen and The Imaginarium of Doctor Parnassus, so clearly it's a thing with him. We think he's getting at one of the less pleasant sides of being an artist. Whether you act, write, paint, or make movies, you're a creative type. And if you try to make a living at being a creative type, you'd better get used to living a little desperately. There's no money in it, and for every rich and famous painter, there's 30 million other painters eating ramen and living in a fifth-floor efficiency in the worst part of town.
That comes on top of your basic artistic insecurities. The performers in the theater are desperate for the approval of their audience—they'll do anything just to hear that Napoleon likes them—and these feelings match the feelings of anyone who ever set foot on a stage and asked for approval.
Also, um, there's the fact that the theater here is being totally perverted to make Napoleon happy. Like, these performers are being forced to risk their lives to make some d-bag Frenchie laugh. That sounds like fun, huh?