Exactly. Even if you don't believe it and think whomever is praying for you is wasting their time, that person cares enough about you to give up their time, and those people should be thanked, no matter what religion they are a part of.
It is a type of Christianity. They claim to be the first Christians yet Protestantism began some time in the 16th century when Catholicism (Original form of Christianity) started either in 30 AD or 33 AD.