THey would likely step on the cookie idea of OKC hard. Even the wooliest fringes of the militia movement are in no doubt who will win a confrontation with the Feds, and they don't want to be terrorists.
If there is a terrorist organisation like that - some kind of Neonazi solidarity network - they would probably try to smuggle him out of the country and maybe start smaller attacks in other places to keep the police off balance. The paranoia that could cause could get seriously nasty.