Agreed, but if you had the option of hiding your friends, then that would probably be better than shooting at the people trying to take them away for the simple reason then you would probably get outshot, and if not then more would likely follow. If you don't have that option, though, then by all means start shooting if that is the only way to save their lives.
Applied to this situation: it would probably be better for this group to protest peacefully for as long as they can because once they start blowing up buildings then most likely martial law or something similar will be declared and they will likely lose the ability to do anything unless they can win against the military. Additionally, they would likely end up alienating the general population, so there would be few places they could go to for support.
They didn't, but lots of people here have wished that they (or someone else) would.