McDull keeps trying because trying is what you do, not because it leads anywhere. By the third film, the series stops waiting for him to become somebody and just watches him play different roles nobody asked him to fill, finding the comedy in how sincerely he fails at each one. This is satire that loves its subject too much to mock him, which is why it lands different from everything else trying to be clever about society.
The third film in the series finds McDull and his friends satirically exploring different roles in society.