Oh, they protested against Lucifer and groups of similar persuasion protested the Sandman comics way back when.I think, even assuming they had, neither of those are big audience draws enough to make a protest worthwhile.
Neither of them pull from the bible in the way Good Omens does either.
One is tangential Gaiman I suppose (Lucifer was a sandman spin off wasn’t it?) and all owe a debt to Paradise Lost. I suspect some branches of the faith definitely confuse Middle Ages religious fiction with biblical truth though (probably including the much later Paradise Lost) and it would not surprise me if in some distant future, Good Omens itself is mistaken in a much similar fashion...not least as, like Harry Potter before and after it, it’s actually a pretty Christian work in its ending. (Surprisingly, unlike BSG, no one minds the god did it ending this time...)
There’s a nice dash of C S Lewis in there too.
https://www.thedailybeast.com/one-million-moms-promise-devil-of-a-time-for-lucifer-tv-show
The Christian nuts are like Captain Redlegs in The outlaw Josey Wales- 'There ain't no end to doing right.'