When 7/7 happened, we saw the CCTV footage; Yorkshiremen getting on a train at Luton. Three of the four bombers were from Leeds, they were born in the UK, what on earth possessed them to go to London and try blowing it up? Fanciful notions of being a mujahideen? Some disconnect of belonging to the UK when they were clearly brought up fully within it?
I'm pretty sure Morris said he made the film to answer that question.
Monkey Dust series 2 (broadcast 2003, two years prior to the attack) had a similar examination with its Abdul and Shafiq sketches. Their friend Omar preaching to them about jihad but their lives mainly revolving around what's on telly and their mum feeding them turkey twizzlers. https://www.youtube.com/watch?v=rhxQT1d1AvE
It returns to OP's missing that the movie may have «any particular political agenda»:
there is a political point, which is "outcasts in search of an identity conflictually with their environment may have a political agenda, which causes a political problem". Disregarding such problem implies potential tragedy.
Edit (wrote in a rush): hence, that if there is a risk, quite worth of assessment, you'd better see things flatly, for what they are.
The very fact that you write «a band of» suggests you are not seeing the universality of the depicted. It is not like the long dream in Mulholland Drive, that changes and deforms a reality: it is meant to be a description through a satirical lens. And it's not "wacky break": it's "Wackyland".
The right-winged that converts himself after studying the texts of the opponents with the original intent of deprecating them; the special radicalism of the converted "local"; the actual nature of the largely misunderstood special culture hosted in the alien lands; the tone based on constant references to actual events (those who hid weapons in a park and found them stolen; those who hid them in a playground and found the children playing with them; those who filled a boat with them and it sank...); the social and internal states, flow and dynamics of the involved... The causal relation leading to the "necessary conclusions". All of this is a portrait - an analysis.
And statements such as "I have hit them, so they must be the bad ones" are fed to the police - not the protagonists. «Clumsy» who? And the interrogator in the "extra-territorial" container, that seems to be imported directly from Joel and Ethan Cohen - «clumsy» who? No, not just "the protagonists".
Maybe, as suggested, you could check a few of the interviews that Chris Morris gave.