You're right, they didn't have an example of their exact situation, so they should have felt perfectly safe. They could see that pogroms happened in other places, to other people, a long time ago, obviously not even relevant in hypermodern civilized 1930s Germany.

I'm glad you recognize how fundamentally different the world is today than how it was in the 1930s, because not realizing that would probably confuse the hell out of you a lot of the time.

We live in a time distinct from anything that has come before, just like they did in the 1930s. Exactly like the 1930s, really. Totally different.