Some find Sacha Baron Cohen to be a offensive jerk, some think he's a comic genius the likes of which have rarely been seen. However, since Borat: Cultural Learnings of America for Make Benefit Glorious Nation of Kazakhstan is in fact a movie to be shown in private theaters, it is each persons choice whether or not to be subject to Cohen's blunt humor. Not in Russia it seems. The Russian government decided that because Borat "might seem disparaging in relation to certain ethnic groups and religions" and so it would not be shown in Russian theaters.
The Russian government has taken similar measures before, albeit with things that are public. For example, Russia prohibited a Gay Pride parade because some might be offended by the existence of gay people. They did the same for a group of racists from having their own march. When a small group of gay people got together to march anyway, they were savagely beaten by ultra-nationalists and then arrested.
The problem is the fact that everyone doesn't have to see Borat. Movies like The Da Vinci Code were allowed to play without controversy. But after the Danish Muhammad cartoon controversy, the Russian government became much more restrictive to things which could offend people's religious ideas. For the first time since the Soviets, a non-pornographic film was banned. This demonstrated the government's power to intervene in private affairs and it willingness to shut down people's freedom of expression of it conflicts with its interests. The interesting thing is that little uproar resulted from this ban, so the Russian government might be emboldened in any other assaults on private matters in the future.