Well, I think they have to have a clear message that highlights the candidate's bad policies or positions, so the focus isn't on the fact the rally was shut down and, instead, becomes about those policies. I haven't kept up with all the coverage on this incident, so I might be wrong, but most of the coverage I've seen just highlights the fact the rally was cancelled. Which, by itself, is a pretty neutral thing, unlikely to sway voters one way or another.
I'm a Clinton supporter, but I think the most recent protest against her was pretty effective, because it highlighted her prior use of the phrase "super predator" and most of the attention afterwards was about that statement and her stance on crime, not the actual disruption. Was there a clear message to this protest? I legitimately might have just missed it.