If you commit a crime on Italian soil you are subject to Italian law. As covert operatives you do not enjoy ANY diplomatic immunity. Regardless of whether the action is a crime under American law.
The Israelis that nabbed Eichmann were certainly violating Argentinian law when they grabbed him and could have been thrown in jail for a long time for their actions. They felt it was worth the risks.
As for the Italian intelligence chief, Italy has some really bizarre laws regarding criminal culpability.
As for the cleric, the term jihad has lost all meaning, if it ever had one to begin with. If the cleric is inciting violence, then I don't have a whole heck of a lot of pity for him.