Kṛṣṇa conscious life means innocent devotional life, and a sādhu is one who is fully devoted to Kṛṣṇa. As confirmed by Kṛṣṇa in Bhagavad-gītā (BG 9.30), bhajate māṁ ananya-bhāk sādhur eva sa mantavyaḥ: anyone fully attached to Kṛṣṇa is a sādhu. Nanda Mahārāja and the gopīs and other cowherd men could not understand that Kṛṣṇa was the Supreme Personality of Godhead playing as a human child and that His life was not in danger under any circumstances. Rather, because of their intense parental love for Kṛṣṇa, they thought that Kṛṣṇa was an innocent child and had been saved by the Supreme Lord.
In the material world, because of intense lust and desire for enjoyment, one becomes implicated in sinful life more and more (kāma eṣa krodha eṣa rajo-guṇa-samudbhavaḥ). Therefore the quality of fear is one of the aspects of material life (āhāra-nidrā-bhaya-maithunaṁ ca). But if one becomes Kṛṣṇa conscious, the process of devotional service, śravaṇaṁ kīrtanam (SB 7.5.23), diminishes one's polluted life of material existence, and one is purified and protected by the Supreme Personality of Godhead. Śṛṇvatāṁ sva-kathāḥ kṛṣṇaḥ puṇya-śravaṇa-kīrtanaḥ (SB 1.2.17). In devotional life, one has faith in this process. Such faith is one of the six kinds of surrender. Rakṣiṣyatīti viśvāsaḥ (Hari-bhakti-vilāsa 11.676). One of the processes of surrender is that one should simply depend on Kṛṣṇa, convinced that He will give one all protection. That Kṛṣṇa will protect His devotee is a fact, and Nanda Mahārāja and the other inhabitants of Vṛndāvana accepted this very simply, although they did not know that the Supreme Lord Himself was present before them. There have been many instances in which a devotee like Prahlāda Mahārāja or Dhruva Mahārāja has been put in difficulty even by his father but has been saved under all circumstances. Therefore our only business is to become Kṛṣṇa conscious and depend fully on Kṛṣṇa for all protection.