I think I can understand that. If you attend a large gathering, knowing that someone has threatened to shoot you there, you're taking a chance that you and perhaps a number of others will be killed.
I won't quibble with your right to play John Wayne and look a threat in the eye, but doing it while standing in a crowd isn't a great idea.
It sounds like they already had the perp in custody when they questioned Shaffer which is why I don’t get them telling him not to go.
Its possible that they were worried that others would be encouraged by the threats.