I dont think it's because he hates the way he is - his family is really successful, one of his cousins is a well respected psychologist, and I think Sacha Baron-Cohen (could you have a more Jewish name lol) went to Cambridge or something. His wife to be (Isla Fisher) is converting to be Jewish for when they marry, so his culture obviously means a lot to him.
One of the reviews I read of Borat was that is was so successful because it appeals to racists and liberals alike - ie the racists will laugh without realising it's a parody, whereas the liberals will laugh at the parody. What I really liked about it, was not that I felt Sacha was particularly showing anyone up for being racist, it felt more like he was showing up hypocrisy. I thought this worked better as racism is a matter of personal belief, but the hypocrisy thing crosses boundaries. Plus as you highlight Cassie it is a film which keeps people guessing, so I found when I was watching it that it challenges the way I look at things which is cool.