I think if they legally weren't allowed to say something about that on stage if they wanted in Texas or Florida that would apply. That's the difference to me, if it directly affects the artist's performance.
Nobody's doing any of the things you're accusing them of. Nobody has even brought up let alone called out Christianity, the only thing that's been called out is UAE's Islamic based laws. Boycotting a country because a lot of people in the country follow a particular religion would be stupid and bigoted. I don't think anyone's even calling for a boycott anyway, just questioning the decision to play (and contibute to the economy of) a country with some major human rights issues that conflict with the band's message/songs, and where their show will be subject to censorship laws.