First, fighting the gholam with the dagger requires some battle skill of sorts. It seems more likely that he would give it to her just as a general way to protect herself. He might mention the gholam as a reason, but there are plenty of reasons to think that she might be attacked with the Power. After all, she had just been kidnapped by the Black Ajah, and there has been an attempt on her life by a Darkfriend (Mellar/Hanlon). That batch has been rounded up, but it is clear that she is a target, and the reason is probably obvious to all of them.