Like everything, it depends entirely on context. If he were standing in the street, outside a temple maybe, and saying "gas the Jews", I could see why he might be arrested and charged.
Teaching a dog to respond to Nazi phrases is hardly the same thing. The context here is comedic. The man in question isn't a Nazi, doesn't want to gas any Jews, and isn't trying to spread that message to other people (therefore inciting hatred). It was a joke. Gervais makes light of the Holocaust all the time, but we don't see him being challenged by the legal system because people understand that it's a joke. Not meant to be taken seriously.