First of all that is not the only factory they are building. Rheinmetall is ramping up capacity accross the board and for example just laid ground for another one in Germany that is planned to produced 200k shells/year, So what you are suggesting is also being done

This one specifically seems to be a joint venture with an ukrainian company, so it makes sense that they'd want to have that in their own country. Especially because that makes it less dependent on any other political shifts and longterm they will definitely want to have their own capacities anyways.

It's definitely a strategic military target, but this isn't being build on the frontlines. I am pretty sure Ukraine right now will already have some factories producing military products that aren't being hit. If it's further back and you put an IRIST-T or Patriot battery in the vicinity, then Russia likely won't have the ability to damage it.