While Madonna probably shouldn't have made these comments, well at least not publicly, there have been other celebrities who have made similar comments. I highly doubt each one of them were investigated. 99% of the population has made a comment at one point or another, which they did not seriously intend to follow through on. That being the case we would all be under investigation.
Any little person would be investigated and charged criminally for saying something like that. Madonna is stirring up trouble and who knows what other people might do based on what she says. The Secret Service shouldn't treat her differently than anyone else, and she should be held accountable for her actions.
After hearing that Madonna said that she has thought about blowing up the White House, it sounded very bad, and I thought that she was in the wrong. However, after watching video of her speech, it doesn't sound bad at all in context. She was obviously joking about it, and she says immediately after that she knows that blowing up the White House wouldn't change anything, so even if you believe that she was not joking, she immediately indicated that she is not going to do it. I think that she shouldn't have said what she said, but I don't think it's a crime or anything worthy of an investigation. Besides, an investigation would be a waste of time and taxpayer money. They would not find anything as a result of the investigation; it would only be done to appease the conservatives who were feigning outrage over the quote.
Yes, Madonna has a long history of saying stupid things and everyone should realize that she was not serious, but the Secret Service does not have the luxury of taking a chance to be wrong. They must take all threats seriously, regardless of the idiot making the threat or however improbable it may be. There are numerous other people's lives at stake, such as office personnel and White House staff whose lives are at risk, which is why such threats, even made jokingly, warrant some level of scrutiny and investigation.