What would some demonstrative march viewed as a threat do? Especially led by guy like Kokesh. It's inviting trouble - on government turf, on government terms. If I'm going to be leading a 1000 member march, instead of an armed march with loaded rifles, I'll be visiting the congressional offices.
What happens if "we" supposedly "win" the confrontation there? Nothing.
Best case scenario, media trouble, suburban soccer mom types scared. Worst case. Kokesh or one of his followers does something stupid to make a "point." This is the equivalent of George Tiller's ghost leading a pro-choice rally.
If there is God-forbid an armed confrontation, I'm making sure it is on my turf, on my terms, with my escape routes, and where I have the advantage.