You seem to be making some assumptions.
1. You assume the story will go "cold" if he's living in another country. Why? How do you know this?
2. You assume he is seeking "protection". The reports say he sought none in HK. You assume he will seek some sort of physical protection in his destination country? What if he doesn't?
3. You surmise he has more "sensitive information" that other governments will want. What if he does not have such information? What if he's just a low level sysadmin who has an interest in Internet freedom and copied documents about controversial Internet spying and gave them to journalists for safe keeping? What about Greenwald, Poitras, the Guardian and the WaPo? Maybe they have copies? Assuming there is "sensitive information" in the docs Snowden copied, shouldn't the journalist be a "threat" too?
He, with the help of journalists, is exposing arguably unconstitutional surveillance of Americans and also arguably illegal hacking activities by the US government. I guess it comes down to whether you see this as a "threat" or as a public service. Or maybe you see only the former as a public service and the later as a threat.
But you can't just assume he is a threat because of "what he might do". Based on his actions and statements so far, we have no reason to believe he's intent on doing harm to his country. He thinks he's a whistleblower. He thinks he's disclosing criminal activity.
And who has suffered from what he done so far? You? Me? Why should we be out to get him? The mainstream media may have a different view of things... but do they speak for you or me? Let's be honest, who do they really speak for? http://wikipedia.org/wiki/Operation_Mockingbird and all that.