Writing stories about the gods wasn't heretical - it was actually the purpose of theatre in ancient Greece.
Of course, that evolution is fairly complicated, but the simplified story: in ancient Athens every spring, they celebrated the Festival of Dionysus (also known as the Dionysia), which thanked the god Dionysus for a bountiful harvest. Along with the harvest, Dionysus was the god of wine, merriment, eventually theatre, and other such joyous things. Dionysia was one of the biggest festival in Athens, second only to the Panathenaic Games, and it's where the art of theatre emerged.
In the sixth century, Dionysia had a competition where choral groups would sing songs that told of the stories of gods and heroes from Greece's mythic past. These would be narrative songs: they tell the story, they don't demonstrate it. Legend has it that in the 530s BCE, a singer named Thespis stepped out of the chorus and inhabited one of the characters they were singing about, so rather than tell the story, this group showed it, thus creating dramatic storytelling; whether Thespis was real or not, though, the general consensus is that theatre emerged from this tradition, the desire to honor the gods by presenting their stories.
It wasn't a requirement for plays to be based on myths, but suffice to say, it was pretty common, at least among the plays that survived to today. We find more original storylines in comedy, which I'm less familiar with, and after the fifth century I believe tragedy starts to embrace original story lines, but no plays written later than than the early 4th century survive.
Off the top of my head, I'm not aware of anyone getting in trouble for their depiction of the gods - I did a some super cursory searches and couldn't find anything, but perhaps someone who's more awake than me knows of some cases. But if these punishments ever happened, I imagine it'd be because they depicted the gods badly, and not that they depicted them at all.
Decent chance that such depictions were written, and because they were bad, never made it to Dionysus or another major festival, and because they weren't well-received, weren't copied enough to survive until today. But that's just conjecture on my part.
For more on this topic, I have a whole section devoted to Greek theatre on my AH profile, which may clarify some things.