They couldn't have left the theatre with him because of the adult:child ratio.
Plus, the class teacher needs to be with the class of children as the buck stops with you. Neither the teacher nor TA could have gone out and been alone with your child for safeguarding reasons. Any other adults there would likely be parents helpers and they are unlikely to be DBS checked/can't be alone with a child for safeguarding purposes either.
Presumably, if you know your child is so sensitive that something like this might upset them, the best course of action is to offer to be a parent helper yourself so that you can leave with him when he becomes distressed.
If you're unable to do that, then you just have to suck it up and thank the school for providing an enjoyable experience for the class rather than moaning about it.
All children have been taught about 'stranger danger' since the 70s - it's far less scary than not being taught about it and wandering off with a stranger... although I agree with those who suggest that, by 5, he really ought to have some awareness already.
And, finally, it was Internet Safety Day on Tuesday when all children in all schools were given age appropriate lessons and activities to do around internet safety that the children generally really enjoyed doing. I know that, because I delivered some.
although I would find the use of the word 'weirdos' odd- are you sure that was from a teacher?
That won't be what the teacher said, that's a 5 year old's interpretation.
If you have serious concerns about your child's high levels of anxiety, then it's your responsibility to take him to the drs, follow recommended advice and then feedback to the school. We are there to act in 'loco parentis' - not to actually be a 3rd parent...