No they don't. The US is pretty unique in having absolute freedom of speech, but plenty of countries leave religion unprotected.
You can, ie, argue how death penalties should be applied to politicians who violate a certain rule.
You cannot and should not be able to threaten one specific individual. If anything, we need more of that kind of enforcement. So many deaths could be prevented if only all jurisdictions handled this matter as seriously as the Secret Service does.
EDIT: wording
However, the act of threatening someone is punishable, and it does not matter whether they are a politician or an ordinary person. What matters is that you committed the act of threatening to kill someone, and that is a crime regardless of the medium or act through which the threat is conveyed.
Does hate speech against a religious community protected under freedom of speech in the US? Because my comment earlier was in that context.
[+]Generally, under First Amendment law, such speech is treated as both speech and as action, and it is the action of inciting violence that is punished.