Nobles traveling with units can be attacked, imprisoned, and have their gold stolen. Priests... cannot.
Gonna stop you right there and just yell "Bull!@#$." Arresting priests is entirely possible. And priests can get attacked for preaching too. Because priests experience violence less frequently than warrior classes does not imply that we should implement new risks. Heck, both of my priest characters have been arrested and had their gold stolen (in Hireshmont's case this was quite a lot of gold) within the last few months. I'd wager the marginal risk of getting arrested and imprisoned is at least as high for a priest as a warrior class.
Priests CAN be threatened. I know of numerous instances of priests having been arrested, and many wars revolving around the issue. And an arrested priest can have his/her gold confiscated.
Thus, the risk already exists. The question is not "Should there be a risk to travel as a lone priest through possibly hostile territory with large amounts of gold?" Well, duh: and such a risk does already exist, and is highly credible, and frequently materializes, and evidently stems from and contributes to the game experience. Priests should not be, and nobody is saying they should be, invulnerable couriers. The question is: "Should the game have an automated extra risk, independent of any conflicts between players, generating
additional risk?"
Maybe we think there should, but that
needs justification in and of itself, and, vitally,
needs justification over and above general assertions against risk-free behavior. It is not sufficient justification for the mechanic to state that there should be risk. There is risk: very serious risk. The question is
why should risk materialize as arbitrary random variables without readily apparent connection to any player actions?