Winter reacts to Penny's panic at the flying blades by lunging, grabbing her arm, and yanking. That will be the only gout of flame at Jaeger, because she's going to focus on trying to claw at Winter's face with her free hand. Lucky for him, he's got a face mask, so she just breaks her fingernails-- and drags soot as she tries to call up a spark and is distracted by having her arm twisted cruelly-- along said mask.

"Get back!" Winter snaps, for Jaeger's benefit, not Penny's, hauling Penny right up against his chest and smashing her there with his super-heated metal arm after the knives fly. "Back, Jaeger!" He doesn't want the man anywhere near her when he engages his grenades. Winter trusts that he can leap free in time, but he doesn't want to risk Jaeger.

And he also doesn't want Jaeger wasting power on offense when they have perfectly good grenades, dammit, and the barrier is much, much more important.