Regarding a difference between sentences and grammar.

They are both faulty: the comma is wrong. However the first is more usual. The second looks like the kind of mistake Indians make.

The commas are especially suspect because they show a tentativeness that is normally not there with this particular example of "I think".

The normal neutral is "I don't think ... "

“I don't think they should have supported the deal”

or

"I don't think they should have been supporting the deal.”

Using "I think" is more emphatic.

As to the choice of the perfect or the perfect continuous, I think both are okay. Using the continuous may show more focus on a longer process.

What have you done this afternoon? vs What have you been doing this afternoon?

This "difference" is the time of the verb

“I think/ they / have supported (past perfect)

I think/ they / have been supporting (progressive past perfect)

Those aren't past perfect, Punkey.

This would be the past perfect;

“I think/ they / had supported (past perfect)

I think/ they / had been supporting (progressive past perfect)

Gone through everybody's reply. Found everybody's reply useful. Thanks a lot for taking time and helping me by your answers.

The first sentence is more correct than the second one. Because, it's not about the tense; it's about the modal which has to be used.
Shouldn't have +V past particle = Modal of Necessity.
There's a sense of regret in the first sentence. That is, they shouldn't have done the action of supporting the deal
I will give an example:
Yesterday, I had a date. I arrived early at the restaurant. When I saw my date, he was very ugly. I shouldn't have gone there.
* Should not have + Vpast participle is the informal form of Need Not HAve + Vpp
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