Let's backtrack a bit; I don't know anything about the actual content of the play. Is its only purpose to be an offensive, in-your-face guesture? If so, you might have a point. Being offensive and provoking people for its own sake is rarely a good idea.
On the other hand, is there intelligent commentary in the play, with any offense being an unintended side-effect? If so, then there's nothing wrong with it. Jesus is a historical/mythic figure that doesn't belong to any one group. His person, image, and teachings are fair game for fiction writers. Refusing to give comment on him simply because some crazed terrorists will send death threats is wrong.