Mitzvos protect if danger is not common

 Chullin (142a) Those engaged in the performance of a mitzva never come to harm.  When returning from the performance of a precept it is different. But did not R. Eleazar say that those engaged in a mitzva never come to harm, either when going to perform it or when returning from the performance thereof?  It must have been a broken ladder that was used, so that injury was likely; and where injury is likely it is different, as tt is written: And Samuel said: How can I go? If Saul hear it, he will kill me.

Kiddushin (39b) Those who are engaged on a precept are never harmed, either when going or returning  and where injury is likely one must not rely on a miracle. 

Orchos Tzadikim (10:15) If a rabbi and Pious Man is far from his city he should not hold himself back from going there to study because of his fear of the roads, as does the lazy man who excuses himself by saying "There is a lion without; I shall be slain in the streets" (Prov. 22:13). But a man should keep in mind that many people travel and are not injured. So he too should not restrain himself from the journey out of fear, for those who are sent to fulfill a command of the Torah are not injured.

Pesachim (8b) Those sent to perform a religious duty do not suffer harm? — Where the injury is probable it is different, for it is said, And Samuel said, How can I go? if Saul hear it, he will kill me. And the Lord said, Take a heifer with thee, etc.

Yoma (11a) Messengers engaged in a mizvah do not come to harm? — Where danger is to be expected, it is different, for it is written: And Samuel said: How can I go? If Saul hear it, he will kill me. And the Lord said: Take a heifer with thee, and say: I am come to sacrifice unto the Lord.