First, you may want to reach out to the school administrators and/or the school board and make your own voice heard on how you feel about this policy.
In giving advice or instructions to your children, you should consider the potential penalties but also discuss the underlying issues behind the walk-out. You may wish to help your child with alternative forms of activism–for instance, by contacting your legislators on their behalf. (After all, you have a vote.)
This could also be an opportunity to work collectively with other parents and your school leaders to organize a community discussion about the political issues, and also the on the the larger civic lessons surrounding free speech, protest, and representative democracy.