The government of Saudi Arabia doesn't officially sponsor any terrorist group (what royal family members do unofficially with their "own" money could be quite different :(). But that's not even the question. The question is which nationals are the most dangerous to US security, and here we're getting into pure populism. Most of the 9/11 hijackers came from Saudi Arabia, the rest of them from Egypt, the United Arab Emirates and Lebanon. Non of these country is on Trump's list.

The countries on the lists are either countries ravished by civil war (Syria, Libya, Yemen, and to a lesser extent Iraq and Sudan) or countries with US-hostile regimes that are already embargoed (Iran, Sudan and Assad-controlled Syria). In short, the Trump administration chose the most dangerous-sounding names for American ears, picking governments that are either on bad terms with the US as it is, or simply too weak to complain. The direct economic damage will be negligible, while the people who supported Trump's idea of a temporary ban of Muslims (most of his voters) would be satisfied with his actions.

It's an effective populist measure, but it's a particularly nasty, considering that the US is closing itself to refugees from countries in civil war.