But she had no baby when she started to work for the Germans. After she got to England, I am not sure how the Germans could have threatened her, or her husband and child. She could have just turned herself in to the British authorities and she would have been put under protection.
As for the original question, I think they wanted to assassinate the ambassador but had no reason to increase casualties needlessly shooting also his staff and even innocent bystanders unless their own lives were threatened. They just wanted the others to drop to the ground and not intervene. In one scene, Marianne pointed her gun at the woman whose husband had already been shot dead earlier but did not fire.
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