It is not about religions, It is about action.
Dalai Lama has done nothing to banned in any nation. He is simply spiritual leader of certain population, who sought refuge in India, to save his life from a totalitarian regime, who wanted to execute him, for being their political opponent.
Where as Massod azahar has created/ heads an international terrorist organisation, which have perpetrated dozens of terrorist attacks both outside and inside Pakistan. No to say, his brother hijacked plane full of civilians and threatened to blow it up, to get him released from an Indian prison.