As has been mentioned, the difficulty lies with a lack of any distinct ruling on what happened. That said, we're talking about covers bands, which are usually about providing a service for someones happy event, whilst a lot of people at that event might argue that the music and the man are separate, all it takes is for one or more people to have had a similar experience, for that film or the wider conversation to resonate with them very personally, and suddenly the band looks very insensitive, might even affect potential bookings.
Ultimately, it's about timing, would I play an MJ song now? Probably not, it's incredibly fresh in peoples minds. Would I play one in a few months time when it had died down? Possibly.
It's nuanced and should be considered on a gig by gig basis I think.
Si