A few thoughts about the situation for the Sefolosha family:
1) I think we're over-reading the quotation if we think the issue lies wholly or even primarily with Thabo's wife's business. That's one possible interpretation of the quotation, but the quotation could be interpreted differently. I think it's just as likely that the problem could be life generally in what they perceived as a too-strongly conservative Mormon culture for their tastes.
2) Though unfortunate for the Jazz (for their image generally, and the fact that most of the most successful lineups last year included Thabo), I sympathize with Thabo and his family. I was raised in Utah, am LDS, and love Utah in a lot of ways, but I'm honestly glad that my life with my non-white wife and daughters hasn't been in Utah, precisely because of the very strong (esp. though not exclusively Mormon-flavored) conservatism there.
3) While it's entirely possible for non-conservatives (non-LDS, non-whites, etc.) to have good experiences in Utah, I'm not surprised when some don't. I certainly don't put the blame on them. There's enough within Utah culture that can cause alienation, and different people have different experiences.
4) This is speculation, but I wonder whether the backlash that Kyle Korver got from about half of Utah's Jazz fans, seemingly, plays into this: when Korver came out with the article arguing (in part based on his experiences with Thabo, among others) that whites need to be more proactive in calling out and trying to understand the racism that people of color face within American society.