Keep in mind realities of class and power exist in Saudi Arabia as well. As a guest of the World Chess Championship, you'll be given much more leeway than a regular Saudi citizen.
How rich and/or successful do you have to be to not be imprisoned for being gay in KSA? Is there a specific level of achievement or do you fill out a waiver application?
Apparently, there is no level to avoid being imprisoned, but if you are suitably wealthy, you will be held at the Ritz-Carlton Hotel and Detainment Facility.