It's annoying when they do that, yes, but I noticed in one game, when Ethiopia sent a prophet to my lands, I did the same thing. I asked him not to convert me and he agreed. Next turn, another city was converted. So I sent my next prophet into his lands and he asked me to stop converting him but I did not get the diplo penalty one normally gets for doing it. I guess at least the AI knows that its only fair when you return the favor.
I had a similar experience with an Archeology rush. I had open borders with Morocco and Egypt and there was a mad rush. Egypt and Morocco had both sent Archaeologists into my lands as they were vast. I finished digging in Egypt before he finished in mine, so he asked me to stop stealing his goodies, so I said OK. His archeologist actually left the site in my territory! I was shocked! Ahmad, on the other hand, told me he was too busy to stop stealing from me so I stole his manufactory with a citadel, hoping I would get away with it. He was not happy.