I girded my loins and powered through the last half of this season yesterday. I like it a lot, but the last episode really crystallized some gripes I have about the show and (back of it) the novel. Admittedly, listening to Richard Rodriguez's interview on the initial Image podcast immediately beforehand probably kickstarted my gripes anyway.
But here's the thing--and, really, some of the Jesus stuff plays into this in a way--there's a distinctly anti-modern undercurrent at work here. The finale's emphasis on fertility goddesses kind of underscores this romanticized idea that the Old Gods are elemental and primal while the New Gods are slick and shallow and whatever. So even though we know that Wednesday isn't trustworthy (and plot-stuff in the novel goes a long way toward complicating notions of the Old-New binary), the expectation seems to be that we will find Easter powerful and beguiling (and Bilquis similarly) in their use of sexuality while Media is pure titillation ("Wanna see Lucy's tits?"). All of this intersects with a bog-standard critique of modernity as articulated by, I dunno, Eliot or Pound. But here's the thing--the laziest way to appear Deep and Serious is to bemoan the shallowness of modernity. Eliot and Pound do interesting things because they recognize that modernity isn't something you can roll back--you have to adapt old forms to new circumstances. You have to "make it new." The project of modernism isn't about rolling back modernity or even just critiquing it--it's about finding a way to live within it.
So. The Old Gods-New Gods binary here is a fairly lazy division along predictable lines, and it carries with it this fascination with fertility myths (fertility myths were also central to The Waste-Land, of course, though Eliot being Eliot the fertility was entirely male). Because the idea is that fertility--like thunder, for instance, or death--can't be rationalized or controlled by modernity (interesting, then, that the god who "goes bad" is the god of the forge--that is, a technology god; I have my doubts that Bilquis is staying with the New Gods for long, and certainly it isn't of her own volition). The New Gods are about control, the Old Gods are about...I dunno, existential surrender to Powers Other Than Yourself. I could talk this out to a fair extent, precisely because it's not a particularly novel set of ideas.
Ok, but Jesus. This is what's interesting, because Jesus doesn't really fit into either pantheon. He's condescended to by the Old Gods, who treat him (all the hims) as a slightly slow-witted younger brother. He's not even particularly noticed by the New Gods. So he exists in a liminal space (which might be the real reason that Gaiman struggles to include him, rather than--as Noah Berlatsky suggests--because he's avoiding controversy). He's too new for the Old Gods and too old for the New Gods. He's also, interestingly, the only God who seems to be acting on behalf of his worshipers--failing, of course; dying, of course; but, at least, not demanding that they burn themselves to death or kill each other (and, yeah, Anansi's position in the slave narrative early on is complicated by the fact that his worshipers here had absolutely no good options). So Jesus is a weird fit for the divine congress presented in the show.
Now, as to what that means--I have no idea. I suspect that the showrunners felt that expanding the story gave them the chance to deal with this huge gap in Gaiman's novel--the fact that Jesus is actually a more pertinent American God than Odin is. Which is fair. But they're obliged to tweak the mythology of the show to allow for multiple Jesuses [which, I am reminded, is mentioned in the book], mirroring the way in which Jesus is omnipresent in American life. What would be interesting would be to see these Jesuses aligning alternately with the New and Old Gods--so, like, there's the Jesus who runs a television station and the Jesus who's all into Celtic spirituality, etc etc etc. And that would mirror the transitional place that Christianity occupies in this sort of [anti?]-modernist myth: the last of the old, elemental religions and the first of the new religions of information and control.
[Something to keep in mind in all of this, of course, is the fact that the pro-Old God stance is articulated by Wednesday--a not-exactly-reliable source--directly before he's called out for his meddling in Shadow's life by Laura. So we might get something more interesting than what I've outlined above going forward]