Before Hitler, Jews were living in Europe for 2,000 years and b’derech hateva there was no reason or place to leave it for. No other countries were allowing mass emigration by European Jewry. Not America and not British Palestine. So it wasn’t even possible. Additionally, in America the frum yidden that moved there pre-WWII mostly (but not all) freid out and lost their yiddishkeit and their children to secularism. So it was actually worse to lose your yiddishkeit than to lose your life. Better to keep your soul and lose your life than to lose your soul and keep your life.
As far as dangers today, I don’t know which is the most dangerous, but certainly more yidden are killed and maimed in wars and terrorism in Israel than are Jews in America or even Europe.