I am willing to bet there were precious few Muslims in that audience. Most were 'good' Christians, always up for a good laugh/jab at the expense of a Jew(s). As you know, Christian Europe has a proud 2,000+ year history of continual Jew torture/massacres, the least of which have been "Runnings of the Jews".
I'm certain Sasha Baron Cohen did not assume audiences would be sophisticated enough to care about or detect their own Jew hatred while enjoying that scene. Nor do I believe he was being PC by making Borat a non-Muslim. For thousands of years we have been tortured by Muslims AND Christians. I don't really see the difference.