It looks like there were warnings in advance too

Visitors to the adults-only show were alerted in advance to a long list of warnings for potential triggers including incense, loud noises, explicit sexual acts and sexual violence.

FWIW, I'm a sideshow performer and have been in shows that were exactly like this (though I don't do full nudity or piercing). There's always a content warning at the top of the show. Though I'm surprised (but not) they allowed live sex. Even where I live, which has pretty lenient blue laws, live sex is a hard no.

Also, this sounds amazing

The version that unsettled audience members in Stuttgart this year supplanted the original musical performance with naked nuns rollerskating on a movable half-pipe at the centre of the stage, a wall of crucified naked bodies and a lesbian priest saying mass.