Okay, so some context here.
Walker probably has a right to be a little upset, since his answer is actually pretty fair. Walker doesn't know Obama, and since Walker's perception of of what Christianity entails goes far beyond labeling. If you don't know somebody, you can't really give a real answer about something so personal about their religious faith.
Of course, this question isn't just a simple question. There is a ton of subtext here in the conservative movement about insinuating that Obama is a Muslim, or to make statements similar to this to play up the somehow "other-ness" of Obama, like Rudy did recently. Perhaps Walker meant to do this as a subtle way to pump up the red meat crowd. Maybe he had no idea. But he should have been smart enough to understand the way such a remark might be packaged and sold.
For the WHY IS THIS NEWS crowd, our stupid political press only asks questions like this because the rest of the country, despite their wild cries that they don't care...actually cares deeply, and will click the hell out of this story. I occasionally will write the sports equivalent of such a banal story, for the same, completely rational reason.
Does all of this REALLY matter? Perhaps you can use this as a data point to show that Scott Walker doesn't have a sophisticated ability to deal with the national press, but you probably knew that already, given that he's only really been a national figure for a few weeks. There are far more important stories to dig into him for, like his ethical lapses, his declaration of war against one of the best public university systems in the country, and his Bush-like cultural conservatism....so this doesn't make the top ten.