Sadness is not a word I would use when I go cavorting among the religiously endowed. Amused? Definitely. Bemused? Sometimes. Angry? Occasionally. Incredulous? Always. Sad? Never.
Once in a while I'll get a pang of pity for the children. They deserve better.
Sad? Nah.
I often find it amusing (and probably feel a teensy bit smug), but if doesn't sadden me or otherwise upset me. People are free to believe whatever they want, so long as they aren't using government to promote a faith-based ideology (e.g., teaching kids unscientific things in a public school science classroom).
Depending on the situation, I have felt many emotions in religious surroundings, but sadness was never one of them.