There's no right answer to this question. And to get us all back on track, the question wasn't were you frustrated by The Band's Visit, it's if directors/creators encourage audiences to feel frustrated during shows.
I hate it when shows (and movies) treat audiences like we're dumb. We're not. We can put pieces together, and lean in to work. I think the correct phrasing of that would be challenging, not frustrating. In that sense, I feel as if Cromer misspoke about intentionally frustrating the audience, because there's not one universal thing you can do to frustrate a group of people. What challenges all will frustrate some, but make others very happy.
An example for me that comes to mind was Sam Gold's Glass Menagerie. I was furious while watching that show. Gold wanted to illicit a response from us, and he didn't care if it was positive or negative. He knew some people would appreciate it, and some would be uncomfortable/bored/frustrated during it. It's better to feel something and be exposed to new ways of thinking then to just sit and let fluff wash over you.
I think that's why I didn't enjoy The Prom at all, as I felt like I was being treated like I was an idiot. It's a really personal question, and every audience member will interpret differently.
TLDR - Should art intentionally frustrate you? No. Should art pose situations that could potentially frustrate you? Absolutely.