They were going to review it, regardless, to see where his feet were. They always do. Mazzulla challenging that call wouldn't have made a difference on them checking.
Challenging it was the right thing to do given the situation,
in fact, the officials got the call wrong -
Jimmy actually double-dribbled here, and it should've been a turnover.
If they deemed Al fouled him before the double dribble, then it should've been a non-shooting foul and Jimmy should've only received two free throws and not three. Not only did Mazzulla make the right call to challenge, the Celtics actually got shafted because it should've been a Miami turnover.