Yes, like Ricky Bobby praying to the Baby Jesus... he's not mocking Jesus, but lampooning the ways in which Christians sometimes behave with some childishness and absurdity.
However, the difference between the two: Ferrell's is entirely an act. If Baron is doing his satire and luring in unsuspecting folks to take part in the sketch, then the pain they feel in the midst of their being duped... that's real pain, and that raises other issues about appropriateness and compassion.
I haven't seen the film, so I don't know if this applies.
I do resonate with this point, but I know I will be slammed for the following comparison: Cohen's characters basically do the same thing as the movie Crash. Cohen just makes it amusing (which is arguably worse). Crash simply builds on monolithic stereotypes in a way that forces the audience into a predetermined moral awareness of what its characters are only vaguely narratively aware of, which is the cheapest of all of Hollywood's tricks. Cohen does the same thing, inserting himself fictionally in these racially and politically charged situations in such a way that they are pushed to their extremes.
I'm quoting this post partly to address your concerns, Anders and Jeffrey. Because Cohen isn't funny to all Americans or Western Europeans. His humor is so edgy that it often plays very un-humorously.
But he is funny to most Western Europeans. In fact, his lampooning of American fundamentalism and conservatism are very well recieved in the UK and Western Europe.