Joining this debate way too late, but I cannot refrain from a good discussion, sorry.
No, absolutely zero issues with this. Actually, I think it's great that they're going precisely because of the disregard of UAE authorities for gay rights, women's rights, and so on. Even if they don't openly comment anything during the concert and even if Billie refrains from kissing any male band members during the show (which for their sake I hope they do refrain from doing these things), just performing songs such as Coming Clean or Bobby Sox during the concert is already a way of creating a space for LGBTQ people during the concert and sending the message that there's nothing wrong with who they are. Exposing the people there to the message that is inherently embedded in Green Day songs is way more beneficial, in my opinion, than Green Day choosing to not to play there would be. Cultural isolation would just be more harmful to the process towards more rights and freedoms for oppressed groups.
If Green Day decided not to play in the UAE because their government is oppressing LGBTQ people and women, it would have absolutely zero effect in the government. I can guarantee you government officials would lose zero sleep over this. The only people who would suffer are fans in the country or in the region who have no other opportunities to see the band. I know that if Green Day had decided not to play in Venezuela because the government is autocratic, women's rights are undermined, and gay rights at best don't exist, at worse gay people are persecuted, and there is heavy censorship and repression against opposition, the Venezuelan government wouldn't have even noticed, but me and all the other fans at the show, and specially those who were not as privileged and couldn't afford to travel to another country to see them, we are the ones who would have been crushed by that (not to mention that from comments in their Twitter account and during the show Green Day seemed to be pro-Chavez, but I choose to forget that 🙃).
All that said, I think it's up to people and activists in the UAE to voice how they'd rather be supported - they know their situation better than any of us do. If activist groups there are or were asking Green Day to cancel the show to boycott the government there, then that's another story and I think in that case Green Day should indeed support their request. But I don't know if such thing has come up.
Now, the other side of the coin for me is how those of us who don't live in the region, specially EU and US based folks, who have plenty of opportunity to see Green Day in other countries, and would actually have to travel to the UAE for the show, choose to engage with this show. I wouldn't go to this show because I wouldn't want to spend any money in the country that could translate to more tax income to the government there. I'd rather see them anywhere else. But I don't judge anyone who might decide to go, because I also know the impact we have as individual is quite limited (again UAE government won't loose any sleep over loosing that tax I would have paid for the hotel), and you could also argue that exposing locals to individuals with different beliefs and mindset is positive for keeping the country moving towards a more inclusive model.