I agree with what others are saying - I don't think it's necessary to change it. They weren't afraid in this case because Deacon worked at the jail and they had an easy out. Even with that, you could see how unpleasantly surprised Dean was about the FBI's quick arrival. And I also agree that now that they've escaped from jail once, from custody at least twice (pilot and Ususual Suspects), and from the law in general on plenty of other occasions, Henriksen and co. are only going to increase their carefulness every time they cross paths. He's lost the boys twice now when they were practically in his hands, he gonna have a real bone to pick next time around.