This actually makes all the sense. If he truly believes it then he’s rightly afraid. If he doesn’t believe then this sends the message to his supporters that they are right to be afraid. Either way it also tries to give him a “martyr in life” kinda vibe by trying to paint him as someone so dangerous to their little deep-state(that totally isn’t 100% conservatives if it’s anything at all) would want to get rid of.
He also has a very shootable personality and platform, and Trumping have been shot at definitely gives some reason why he’d be behind glass himself.
Benefit of the doubt interpretation though is a guy who can afford to have security and bullet-proof glass telling little children to “deal with it” is a fucking scumbag-extraordinaire.