From what I've read elsewhere, Shandling was very impressed with how Shout! Factory handled the It's Gary Shandling's Show DVD release and was happy for them to do this set. I also suspect it's because Shout! Factory ponied up the dough for the music clearances, which Sony seemed reluctant to do with the previous DVD releases.
I heard that the hold up was with all the music groups that played on the "show" and the problem with having to negotiate with all the different management companies. I guess they got everybody on board. What a great, great show.