I think the point in Britain is that neither Lenin nor Stalin bombed London.
The Nazis are in a different class in Britain because they attacked the nation itself within living memory.
Think about the Chinese and all the killing they have done. Think of the Cultural Revolution and Tienamen Square. Now think about al Qaeda. Which gets the bigger reaction among Americans? See what I mean? Same reason.
We also can't know what the British would have thought about a Lenin or Stalin costume. It hasn't happened.
Maybe Harry will dress as Ron Weasley next time and outrage all the fundamentalist witch-haters.