It doesn't matter where games are held. If someone wants to be a terrorist, they're going to find a way to disrupt a public thing like this.
I understand why the NHL would do this, but the players are going as private citizens, not as employees of the NHL and should be allowed to make their decision as private citizens. If an individual country decides not to participate, that's a different story since they are sending the athletes to represent them.
I hope they go and that if any group is going to try anything that they are caught before anyone gets hurt and that they are seriously punished (death sounds good to me).