Just stumbled upon this article by a scholar, "What is Shen Yun, the Chinese dance troupe connected to the bomb threat at the Lodge?", of someone is interested.
TL;DR: Shen Yun has been highly criticised by officials from China and has critics also abroad, but "the Chinese government’s sensitivity to Shen Yun reflects a broader strategic concern" as the article says:
Shen Yun is not simply performing culture. It is contesting China’s cultural authority. In Shen Yun’s performances, cultural authenticity is not created by the state. Instead, cultural authenticity is created by the diaspora and the people [...] Western cultural venues – and today, the Lodge – have become key battlegrounds in this contest.