I don't have any legal concerns, but I do have personal concerns--as in, I prefer to go on living, unharmed and free. The Secret Service has NO sense of humor whatsoever when it comes to any possible threat of any sort to the people that they guard. And they tend to react fast and hard.
Iknow of a retired radio host who used to do a show at the end of each year for callers' predictions for events that would happen during the upcoming year. He had to make a rule that he would not allow predictions of the president getting killed--because every time a caller made such a prediction, he would get a visit from the Secret Service, and he was tired of the hassle.
Now, if you want to risk getting detained or shot because you're carrying a weapon at or near a presidential rally, go right ahead--but I prefer to do my gambling in other ways.
In addition, there are so many other fronts to fight on for our rights; so many other ways to fight and so many other things to do; that I have a very hard time understanding why anybody would voluntarily submit themselves to the possibility of ill-treatment or worseby the Secret Service agents who will do anything it takes to keep the president alive.