If I recall correctly, at the end of The Other Guys, during the end credits, there were several messages about Wall Street and the abuses. Also, the storyline was unnecessarily 'complicated' for a silly film, as you call it, and I'm quite sure Adam McKay, to a certain extent, felt it was a comedy first, sure, but also criticism of Wall Street. And I'm sure no one picked up on the second part, because it was handled in a clumsy manner, ultimately.
I was exaggerating of course when I said 'the only reason he made The Big Short was because no one took The Other Guys' seriously, but I'm sure it's a story he really cares about and he wanted to make a 'serious' film about it.