Yes, I think it's the Seoul Metropolitan Police's #1 priority to break up a peaceful protest of a couple of dozen in front of the American Embassy, especially if they have a permit. And immigration and the Seoul prosecutor's office really would love to go through all the paperwork and legal hoops of charging and deporting those in attendance, after sifting through their various visas to see if it's even possible. Sure.
When the Olympic Flame came through Seoul a few years ago on it's way to Beijing, lots of foreigners were out there protesting along with Koreans (Chinese and other Asians along with Westerners). The violent ones were arrested, but out of all the people I knew who showed up with signs, none of them at any point were afraid of being charged and deported. It's such a scare tactic people use to try to convince people to stay home. Yes, being violent or being with violent people, or getting in the cops' faces is not a good idea. If you're asked to leave, consider leaving. But just showing up...doubtful.
Anyway, there was a protest in Seoul on Saturday (and, hey, no reports of E-2 visa holders being deported!), as there was around the world. I think some people confuse peacefully protesting to wanting to tear down the system and hang every government official. By far the majority of those involved with the Global Occupy movement just want accountability and responsibility in the financial sector and for governments to start investing in the citizens of the country instead of protecting the interests of a select few. That's hardly anti-Capitalism or even anti-corporate. It's pro-accountability.