Public mockery is a social attack; if effective it reduces the target's social standing.
Whether that's "bad" or not depends on its results, but the costs are neither illusory nor purely psychological; regardless of what goes on inside my mind when I'm being successfully mocked, there are social costs.
Whether that "matters" or not is similarly difficult to answer. If I'm not invested in the resources that such attacks take away from me, or am not aware of the attacks in the first place, then I don't experience them as losses... it doesn't matter as far as I can tell. And if I'm never in a situation where I would have used those resources to benefit myself or others, then perhaps it doesn't really matter to anyone.
But none of that is unique to mockery. Does it matter if someone takes my tuna sandwich? Maybe not. It depends.
But I suspect that in both cases, I'm more likely to have lost something valuable than not.
Of course, it's easier to be unaware of social penalties than to be unaware of other resource losses. A tuna sandwich is pretty concrete; it's easy to tell when it's taken away. Social standing is less tangible.
Also, signaling one's indifference to this sort of social attack can be a defense against it; indeed, sometimes the attacker loses social standing. That depends a lot on the attacker's and defender's initial standing, of course, but when dealing with peers a stance like you describe can be very effective, and cultivating actual indifference is one way of signaling it effectively, on demand.
Of course, when in situations where that style of defense doesn't work (for example, when the attacker is significantly higher status), actual indifference can be very costly.
When you make fun of someone, you are probably degrading their purity and disrespecting them (if we look at the results from the lesswrong thread on yourmorals.org, we can see that many of us consider purity/respect to be far less morally significant than most). Yet, making fun of other people does not intrinsically reduce their "utility" - rather - it is their reactions to being made fun of that reduce their own "utility".
This, of course, does not justify making fun of people. Every negative action is only "bad" due to people's reactions to them. But in many cases, there is little reason to be upset when people make fun of you. When they make fun of you, they are gaining happiness over some weakness of yours. But is that necessarily a bad thing? It can be bad when they make fun of you in front of others and proceed to spread degrading information about you, causing other people to lose respect for you. But they could spread that information even when they're not making fun of you.
Many people find it unusual that I actually laugh when people make fun of me (in fact, I sometimes find it uncomfortable when people defend me, since I sometimes even value the message of the person who's making fun of me). I usually find it non-threatening, and I'm even somewhat happy that my weaknesses resulted in the elevation of someone else's temporary happiness. I wonder if any rationalists feel the same way that I do. Of course, I will refrain from making fun of people if I think that they will be negatively affected by it. But it does make me wonder - what would it be like if no one cared if they were made fun of? Certainly, we must react to those who spread degrading information about ourselves. But does it really matter if others laugh at it?
Of course, the prospect of amusing one's recipients is an incentive for some people to spread degrading information about you or your friends. So that may be one reason to counter it. On the other hand, though, laughter is also an incentive for people to spread degrading (and potentially true) information about your rivals. Perhaps people somewhat recognize this, and are frequently somewhat hypocritical about this (not that hypocrisy is intrinsically a bad thing).
PS: I wonder how laughing at other's weaknesses fits in with Robin Hanson's norm-violation theory of humor. Other's people's weaknesses aren't exactly norm-violations.