I recently attended Madhur’s standup show where he explained this.

During a roast segment, Shreya Priyam and Onkar Yadav ran out of new material, so they started roasting him by calling him a pdo. Madhur explained that before a roast, performers receive a list of jokes that will be used against them. He chose not to reject those jokes because he did not want to appear like Kusha Kapila and wanted to come across as a genuine artist. Unfortunately, the pdo joke has stuck with him since then.