Yes, Dogma was a bit preachy. But it was a voice that hadn't really been heard before. How many times in the past have you heard a filmmaker say that denominations and belief systems have ruined religion? Never. And it needed to be said. Unfortunately, it was heard in the form of a comedy, but it still got word out albeit to a much smaller audience than a Ben Hur or a Passion of the Christ.
All filmmakers have an agenda. It's something we've just gotta live with. Even Clerks and Mallrats had agendas (to expose the hell of working in retail hell and shopping in retail hell, respectively). I've learned to deal with it. That's all you can do. Either take it with a grain of salt (my preferred method of attack especially with documentarians) or avoid the film altogether.