Hmmmmm well, my daughter is 8 and I do make jokes about the police being "here to get her". She would still go up to them if she needed help. The reason being that despite being 8, she is not an idiot, and knows that I'm joking
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So more important I think, is to say "Hey kids of all ages! Your parents word is not gospel."
Basically we should be teaching kids to be skeptical of the **** that anyone tells them, and to use their own common sense.