Seems to me that if there had been threats against the family, LE would have put ALL of them in protective custody, or at the very least put guards on them 24/7. There would have been no need to get CPS involved unless they believe Sergio is a threat to the boys.
If LE thought someone was going to come a-gunning for Sergio, and there was a possibility that the boys might get caught in the crossfire, wouldn't they have just handled this themselves, and put them in a safe house, rather than calling in CPS?
No... I think they believe HE is the threat. They've been abused in some way by him or someone close to him, or he has caused them to be afraid of him. Maybe they know something about what happened to Isabel and LE thinks he will retaliate by harming them.