I actually voted that yes, they are unbalanced. Two main reasons:
1. Most civs have some really powerful mechanic, but it tends to either come late in the game (vampires, shades) or leave the civ vulnerable in the late game if it comes early (barbarian civs). PZs come very early for a civ that is very strong in the end-game as well (AC rising, summoner archmages..) I wouldn't think that the Sheaim need such a big boost in the early game, they should be pretty pedestrian until they get AV and start slowly raising the counter. Giving them the best tier 2 UU in the game is a bit too much.
2. Other UUs, even if very strong, work only in combination with other units and have counters. As mentioned, the only real counters to PZs come at tier 3 (life 2 mages, demon slaying etc.) and a huge stack of nothing but PZs can do very well on it's own.
Suggestions:
A good option can be raising their cost, so they wouldn't be so easy to mass produce. That way a counter to them will just be having more units.
Another option is making them resistant but not invulnerable to their own explosions. That way instead of a large stack of doom they will have to be used in small groups, giving the enemy a chance to hit them first or recover between attacks.