You've hit the nail on the head.I honestly think it would be very easy to shock general society with modern art, but no modern artists are willing to do it.
As far as I can tell, for possibly the first time in history, it is, in general, progressive views that control modern moral propriety. People are tut-tutted not for defying the social codes of the conservatives, but rather the progressives. As such, if you want to shock the moral fabric of society you have to insult, demean, belittle, or otherwise attack the values of progressives. The problem, therefore, is not that we have become immunised against shock, but that the artist themselves, as progressives, hold the moral beliefs that one would have to violate in order to shock.
Another statue of the dark lord drinking the blood of Jesus or a woman flaunting her body in a statement about "feminism" does nothing to disrupt the moral fabric of society precisely because it is not against the moral fabric of society and not because this moral fabric has lost its capacity for shock.