This sentence comes from the the RAE for the word "dar" (explanation 48), as such I do not have context, but as a rule of thumb, the example sentence should be clear without context, however I have difficulty understanding meaning of the sentence. My best guess is:
- "ese" is a person
- "a quien van a prender" = they are going to arrest this person
- "se dé ese" = I would give up on this person
- "No hay miedo de que ..." = don't be afraid that ..., i.e. I would not give up
So "No hay miedo de que se dé ese a quien van a prender" = there is no fear that I would give up on that person whom they are going to arrest? It is kind weird, I give up, please help.