through the years religious (Christian) art has produced any number of pictures of saints being tortured, souls going to heaven, souls going to hell. I don't think this is unusual or offensive at all, though sticking it in a gallery window may be insensitive (but I've always thought Banksy was a master of cheap shots). I don't like it much but yes, it's well within the traditions of art.
No doubt he's shocked some people; no, the work shouldn't be removed from display; yes, I expect it could be just as upsetting to some as those Allah cartoons but for a rational reason, and yes, Muslims believe in angels.
It doesn't offend me, but his work is in very poor taste.