The answer is they have. Many times. Not only in South Park, but in the movie Team America, they have made fun of the crazy elements of Islam and of characters like Osama Bin Laden.... not the religion, per se, but the nutty fringes of it and the things people DO. Which is really their point. They aren't making fun of the Catholic faith, or God, in this episode, they're making fun of people who believe in apparitions of Mary being real or having any healing or curative power if you pray to them. They assert that they are fake and that people are foolish to believe in them. And they do it in somewhat vivid and funny ways.