Rickon and Shireen were very well protected - he had arranged so many layers of defences, both mundane and magical, to guard them. Jon could daringly say that they were the most protected souls in Planetos. And after becoming a phoenix animagus, he could flame to them in an instant if their lives were in danger. Yet, the attempt, the sheer gall that someone would dare and try to take his family away, was infuriating.