Well, I think that the risk posed by a Theme Park isn't any greater than that posed by any Lost that perform. As you said yourself, going up on stage can attract attention. However, there are definitely still Lost that pursue those kinds of professions.
The way I look at it, the concern over security vs. desires is a great point of plot to explore, and that the very contention over that point will likely help inspire some interesting stories.
Regardless, the Theme Park hasn't gone up quite yet, or been claimed by the Freehold, so there's still some time