Since they took you out for your birthday I don't know that you can say too much about it. Just decline the invitation if it was something you don't want to go through next time! I was taken to lunch with a friend and her parents to Olive Garden before the girl and I were to catch a plane, and the three of them prayed beforehand. I had no idea that the girl was religious. Bless the food, bless us, the staff, the trip that we were about to take, the like. It was a bit uncomfortable for me as I was just sitting there, but they weren't loud about it and didn't ask me to participate. They also paid for my meal at the end, which they were in no way obligated to do!
Now, if they were overly loud about it, pushed you or the waitress to actively participate, judged you for not participating, or made a scene about it then I could see why embarrassment could definitely be warranted. I don't see how just saying a food prayer in your presence is being arrogant, but I HAVE seen times when it definitely can be.