I only have the gas turned on to the brew rig on brew days, so I'm not particularly concerned about gas flowing without a flame. I also have ball valves (which I already owned) upstream of the needle valves, so I can turn on the pilots and light them one a time, and turn them off when I'm done with that burner.
Unless you've got a control board capable of interpreting the flame sensor on the assembly you linked, as well as a pilot solenoid capable of closing on signal failure, it's a waste of cash.
I brew in the back of my basement, near a door. I have not had the pilots blow out. I've never gotten around to making a collar to go around the burner and the lower portions of the kettle, though that might help my heat efficiency. It would also reduce the risk of blowing out the pilot. I just tried to blow them out, and it takes a pretty good puff, but it can be done.
My dad is an electronic engineer so he is dealing with the control panel that isn't going to be an issue. Although I admit I didn't think about a valve to shut off the gas to the pilot. I think I have decided to to go with a spark ignition.