Max went out alone without any guards or anything. Even if they took them, it wouldn't make much difference as Max was already able to hold himself against a veteran two-star mage, so it wouldn't make any sense to take a bunch of novice mages with him.
This time he didn't go to the market and went toward the public martial square where young mages of Claymore town compete against each other. You can simply go up the arena and challenge anyone for a friendly duel, or if you have any enmity with anyone, you can even ask for a duel of life and death. And once a year, a town competition would be held here.
This type of martial squares are everywhere in the Green Leaf Kingdom; they keep the younger generation competitive, which motivates them to train diligently and become stronger.