She's the Captain of the Guard ... she's ALREADY a target.
As for torturing him for the various secrets, they still might not get the Teela info from him because they wouldn't know to ask. They might ask about He-Man, since he might reasonably know who HM is, but the Teela thing probably wouldn't come up.
I figured Skeletor, Evil-Lyn, or Hordak would look for any leverage they could gain over him -- family included.
MAA can shield his mind ... but Teela cannot shield hers?
What kind of sense does that make?
If I were a soldier who ran the risk of magickal mind probes, you'd think that would be a part of basic training (Think of what Skeletor or Hordak could learn from a captured soldier -- command structure, troop movements, etc.)