The entire POINT of the joke is that Borat has nothing to do with Kazakhstan. The joke is a) that Americans (and Brits) are dumb enough to believe that he is a Kazakh and that Kazakhs (or foreigners as a larger concept) behave the way he does and believe the things he does, and b) that by behaving this way he gets Americans (and Brits) to expose their own prejudices (usually against Jews and gay people).
Unfortunately, in the process of making a narative structure for the movie, the real joke (Americans and Brits are dumb) gets a little obscured. But still, that's the joke.
That said, I can't really blame Kazakhs for not getting the joke. How well would most of us react to the exact same thing in reverse?