Yes and no.
Of course there are some (many) situations children shouldn't be exposed to.
But there are also many situations that one child would enjoy, and another child hate.
Plus situations which you think your child would enjoy, but they don't.
Other situations that you think might be mildly uncomfortable but a good learning experience.
A good parent doesn't always shelter their child, in my opinion, but does always listen to their child and not force experiences. Sometimes that means they do something that afterwards they say they don't want to do again. Sometimes it means they do something they aren't sure about and gain confidence and maturity because they find they can handle it, or even enjoy it.
Yes, I encouraged/encourage DD to try (some) things she's not sure about, with my support. E.g. Public speaking, although she has a stammer. She has always had a 'pass' to do e.g. orals one on one with her teacher, but chose to take part in her school's public speaking competition.
In my opinion parents should balance protection with learning - and be guided by their children.
The only people who can judge the impact of the Sandringham Christmas walk are George, Charlotte and Louis. And I hope - no idea one way or the other, but no reason to believe otherwise - that their parents listen to their views for future events.