Nice try, but no. Concealed carry is legal in Minnesota so nothing wrong with a person carrying as they go about their business. However, while legal I think that common sense would suggest that if you are planning on confronting armed law enforcement officers...the same officers that are regularly physically accosting other protesters then maybe having a handgun concealed on your person might significantly increase the risk of something bad happening.
Maybe more like choosing to wear a mini-skirt in to the violent sex offender wing of the prison. Completely legal but maybe not the best decision.
Edited to add: This doesn't change the fact that this poor individual was murdered by ICE. I am in no way defending their actions but I still think that choosing to carry while protesting isn't a choice that I think is wise.