There are several points to bear in mind here, but none of them are that the wasps are harmless. (Clearly both Wulfenbachs think the wasps are a real threat, and neither is inclined to panic easily.)
Common knowledge, especially in Girl Genius, is often very far from true. Agatha, who is almost completely ignorant at this point in time, has no reason to trust her immunity to the wasps - she's only beginning to realise what she's capable of at this point. It's only Gil's actions that need explanation.
Standard slaver wasps don't infect sparks, but it is possible to modify slaver engines to infect sparks. (We see one in action, later.) Klaus is clearly aware of this, and considers all engines a lethal threat. Gil may not know this at the time (he does later), but has clearly picked up his father's attitude. (Agatha, who at the time has been kept purposely ignorant of most spark history, is merely responding to Gil's concerns and the general atmosphere of panic over slaver wasps.)
Slaver wasps that can't control sparks can still kill them trying. Also, sparks are heavily dependent on their supporting minions. It's not much good to be immune to mind control yourself if all your aircraft crew and bodyguards have turned into slaved copies of the Other trying to kill you.
Lucrezia's slaver wasps, once created, were frequently redesigned and repurposed by other sparks to enslave for them. Redesigning them to work fine on sparks is an obvious next step. Since the Baron can't be sure who's been using the hive engine first, it's a huge threat. (Selnikov is clearly worried about something like this in the section linked; he expressly claims that Tarvek's in danger from other kinds of wasp than Lucrezia's.)
We know that many other factions are performing exactly this kind of research. The fake Heterodyne's defences against becoming the Other accomplish something much more sophisticated and difficult than merely controlling a spark; they secure a complete copy of the Other in a mental trap.
(With thanks to Adamant, whose comments greatly improved this answer.)