Edit: updated to use examples that aren’t part of protected classes.
Regardless, I don't think there's any state in which affiliation with an employer is a protected class. You can't compare this to race or sex, which are protected classes on the federal level, in every state.
If you are referring to the Masterpiece Cake suit from Colorado, I'm pretty sure that the cake maker won on a technicality: table single member of Colorado's ruling authority said something religiously discriminatory against the cake maker which made their ruling discriminatory.
The general question of "can a private cake maker restrict who he makes cakes for" is still unresolved (legally, in the US)
https://en.wikipedia.org/wiki/Masterpiece_Cakeshop_v._Colora...
The MSG thing is a completely different issue.