Remember the barbarous way the High Sparrow allowed Cerci, Margaery, and Loras to be treated while they were in captivity. His outward appearance of gentleness was, IMO, betrayed by his treatment of prisoners. He was deseving of contempt from those who saw through his phony humbler than thou act.
The High Sparrow came from a background of affluence. He found peace and fulfillment through austerity and self-denial.
Since so many others appeared to be helped by his message, it would be reasonable for him to conclude that this is the remedy Westeros needs.
Loras, Margery & Cersi needed to be shown that they were no better than anyone else. Taking them out of their safezone would be the fastest way to reach them.