When you give consumers a product that they want, at a price they find fair, in a form factor (format) that is convenient for them, in a location that is convenient for them, they are happy to pay for it!
The hard part is making that happen in the first place. From the article:
Louis CK used the $500,000 to pay off several costs, including the $170,000 it took to produce the show, and the $32,000 he spent on building and editing his own website.
Leaving aside the possibility of people acquiring the video without paying for it, he had $300,000 of costs (they don't indicate where the other $100,000 went, maybe the $202,000 figure mentioned was the up front cost and the next $98,000 was distribution). Sure, he could have perhaps found a lower cost way to distribute it but it's still $170,000 in production costs. Part of the deal with publishers of any kind is that they're taking on the risk of producing it. If it doesn't sell it's them who will be losing money, not the author or act or band, etc. In this case, Louis CK put himself in a position where he would potentially lose $170,000 at the minimum. It's only established acts who have the opportunity to take that sort of risk.