God alone is sovereign. This means (1) that there is no point in trying to appeal to other deities, and (2) that God is the God of the whole world. This means that when God’s covenant people become no different in their conduct from the nations of the world, they cease to be in any substantial way unique and are nothing more than just another “sinful kingdom.”
To say “Jesus is Lord” is the most political thing you can say, but not because it implies a political agenda. When we declare that Jesus is Lord and not Caesar, we are saying that the realm of life and death is not politics but the throne room of Jesus.