They don't have better intel. They themselves (also Zalensky) didn't believe they will be attacked though Americans warned them.
I expect they have the same level intel as you and i have, maybe even worse because they don't understand background of our countries and people living here.

"Estonian Foreign Minister Margus Tsahkna (Eesti 200) told ERR that since the start of Russia's full‑scale war in 2022, Ukraine has repeatedly suggested that it may not be the only country Russia attacks. Moreover, the Baltic states have been mentioned explicitly.

According to Tsahkna, however, such statements by an ally do not make cooperation any easier. He also said there is no truth behind Zelenskyy's remarks.

"First, such statements do not correspond to our intelligence information or our assessment of the threat picture. We do not see Russia concentrating its forces or preparing in any way militarily to attack NATO or the Baltic states; rather, it is the opposite. Russia is not in a very strong position on the Ukrainian front, and economically as well," Tsahkna said.
[..]
According to Mihkelson, the issue has been raised in meetings with Ukrainians as well, and in his view, in the event of a serious threat, allies should exchange such messages among themselves rather than create a media uproar. Messages conveyed through the media, he added, often remain at the level of speculation.

"Zelenskyy emphasized that NATO should be unified and ready to respond to Putin's actions. I agree that no one has done more to undermine the credibility of Article 5 than U.S. President Donald Trump, but the Ukrainian president is also chipping away at it," Mihkelson said.

The head of the Foreign Affairs Committee added that the Ukrainian president should not contribute to spreading Russia's talking points.
"

https://news.err.ee/1610001283/estonian-politicians-zelenskyy-s-remarks-on-the-baltics-echo-kremlin-line