I'm not worried about them getting lost. I know how to keep track of my kids in a large crowd pretty well. And my wife will be there, too. We'll have child carrying harnesses so the kids can ride strapped onto our back if they don't want to walk anymore. My concern is about the intended atmosphere of the event.
Also, as someone who never saw my parents engage in politics beyond voting, and barely even ever heard them speak about politics, I think it's important for kids to see their parents engaging in politics, even if they don't really understand what's going on. It shows them that it's not only OK, but encouraged to form and act on their own political ideas. It opens them up to discussing political issues when they get old enough to, and shows them that politics isn't just something for the ruling elite.
My older (5 yo) has already attended a couple of protests at Tesla dealerships over the past couple months. When she was less than 1 year old she went along with my wife and I aas we did mutual aid supply drops at various events during the 2020 uprising.
The younger (3 yo) hasn't been to a protest yet. This will be her first. Suffice it to say, though, this will not be the last either one attends.