They are treated differently because the risks are very different.
Grindavik is literally on top of the dyke! Magma has literally run underneath the town in a long line running north east south west. There are huge cracks in the ground, one person has died as a result of falling down a crack in the ground. There is also a significant (all be it reducing) chance of a fissure opening up within the town itself. It has twice opened up on the northern edges of the town now.
The Blue Lagoon whilst just outside Grindavik it is not directly on the dyke itself. So it isn’t likely to have either massive crevasses opening up underneath it nor is a fissure likely to open up close to it. The risks at the blue lagoon are primarily from gasses given off by the volcano and from lava during an eruption north east of the town. Both would have significant warning times before there was any risk to those at the blue lagoon. Even if there was no warning before an eruption starting it would take several hours for lava to reach the BL.
Judging that the eruption that started this pat week started with very little warning and months earlier than most people were predicting it to. Also starting in the middle of the night. Grindavik itself is definitely still a more risky place to be. Fortunately this time around the fissure has opened up towards the northern end so quite some distance from the town. But it could have been in the town itself.