My guess is that Shep and crew have some contingency plans. They have a vehicle and can quickly move to a safer location when they need to.
I figure the streets are going to be pretty empty come nightfall.
The French Quarters is a small part of town, and I think Shep and crew will be able to move out of it when they need to.
Shep won't be able to get out of the city - he can go to the superdome with the other Fox reporter.