kinda self-explanatory in the way that it basically just means "a place in which you are safe"
Well let's be honest, in the context of this situation and probably most other situations online where you'll hear the phrase it isn't just referring to a safe warm place to snuggle in your blankets.
It's referring to places where controversial discussions, or opinions opposite of your own are banned. It's "safe" because you aren't going to have your views challenged.
on topic, I'm kinda with McZealot here. i feel like what Annoying Orange was trying to push was that the theater wasn't a place for politics/a heated topic, but on he other hand they didn't say anything all that bad, just sort of out of place for a venue like that
The theatre has always been a place for politics though. The large majority of plays and musicals are political in nature, either being overt in their message or more subtle.
It's not like Pence was viewing a children's pantomime.
If you go to a theatre you should expect views to be challenged. Yeah, it's on the nose for the cast to make a personal address to a single member of the audience, but it's not breaking any traditions or expectations of the theatre.
It would be wrong to suggest that the theatre should be a "safe space" from political discourse.