Because an assassination could easily change the balance of the court depending on who is POTUS.
It doesn’t have to be POTUS level protection but at least something greater than they have now. I was unaware of marshal protection.
An assassination could easily change the balance of the Federal court, to the benefit of who ever happens to be president and in control of the U.S. Senate.
But on the same level and in the same act it will also politically polarize the federal court in the minds of the people thus undermining the self-destructive blind faith in that body’s presumed dictatorial athoirty over the Federal Constitution.
That is in fact a real goal we should be looking to accomplish as it is essentially that Federal agents are not blindly trusted with the power to define the limits of their own power. A restoration or even retention of Federalism requires a veto on the other(state) side.