Why would that concern her? That because so many people failed that she shouldn't even try? With that reasoning, they ought to throw open the doors of Arkham.
Of course the Penguin's gonna stick up for her, he hates Batman and hey! he was just illegally assaulted.
Batman refused an order and is armed to the teeth (probably literally). One chance was all he deserves, and he got it. It was him being a dick, rubbing their nose in his superiority. He threatens the second cop right afterwards too.