In brief, 7th Sea 2e plays a bit different but still very possible to tell frightening stories. So instead of the heroes mowing down Mook and minions, the GM is encouraged to find other threats, like do they risk Corruption points by killing the vile enemy boss, or do they have enough Raises left to secure vital information or to save people from a sinking ship? Will sorcery bring one of the heroes down? So more storytelling and less traditional encounter structure.

Something to think about: in 2nd edition, the big fight is an obstacle, not the objective.

So consider your scenario:  "imagine the heroes are in an old cave to have a secret meeting and suddenly 20 king guards arrived to arrest them. The idea is to frighten the heroes and force them to escape."

So WHY is it more important here for the heroes to escape rather than fight?  What do they lose by fighting?  What do they gain by escaping?  Those 20 guards stand in the way of something.  Fighting them risks losing the objective.

A few ideas:

• One of the conspirators will be recognized!  You have a narrow window of opportunity to help her escape, otherwise one of the guards will surely report her involvement.
• The building is surrounded!  You have a narrow window of opportunity to escape or risk being captured anyway, with even more prejudice.
• The guards have the theft ability.  You spend a danger point for one of the guards to take off with an important object.  Stay and fight?  Or give chase?
• Your reputation is at stake?  If word gets out that you are involved in this conspiracy, you (and perhaps your friends, family, or patron) might be implicated.
• The captain of the guard is nobility (just low ranking).  Fighting him risks putting you in the crosshairs of an even greater enemy.
• The guards have the pirate ability.  You spend a danger point for one of the guards to make off with an important ally/conspirator.  Stay and fight? Or give chase?
• Being arrested presents an opportunity to infilitrate the king's jails — and free an important ally.
• The guards brag how right now they are rounding up the other conspirators.  If you leave now, you might have a chance to save them.
• Oh crap, the guards brought guns.  And they have the Swift Quality (or Assassins ability, you choose).
• The guards are just a front, cover for another adversary to do his work in the shadows.  You have a narrow opportunity to thwart that foe.

Get the picture?  Windows of opportunity can make things fun.  Especially when you can apply more than one to the scene!

edit: and don't forget to toss in a danger point to increase raises to counts of 15, because the guards caught you off guard.  Wait, why is that?  Oh right, because your lookout betrayed you.  And he'll escape too if you don't act in this narrow window of opportunity.  :D

edit 2: Don't forget, if they leave the scene early without using some sort of Advantage, they take wounds from all the remaining brutes.  

edit 3: if you have more than one duelist in the group, make one of the guards a villain (or even better, a hero!) of STR 5 or 6 with the duelist advantage.  If the guard is a hero (someone the heroes know and respect), he stands to lose face, reputation, and station if the group escapes.  This could rob them of a valuable ally.