Surfing on the east coast - should we be worried or just cautious?

Where are you getting the warnings from?   I think you are being overly afraid.  Kenya seems to get a lot of bad and unjustified press in the west, portraying it as highly risky.

Malindi is not near the Somali border.  There hasn't been any terrorist activity in Kenya for quite a few months and security at the coast is generally good.  Added to which, its highly unlikely that you would be caught up in a terrorist incident, if one were to occur.  Amongst other things, Kenyans are the ones who have been targeted in the past.

If you still wish to be further away from the Somali border, you could consider Diani Beach, which is south of Mombasa.

Come and enjoy.

Hello,
Contrary to western press portrayal of Kenya the country is safe and security has been heightened to counter any threats. I am currently residing in Mombasa and i can ask you to consider kitesurfing at reef beach . I know of someone who provides kitesurfing services and can offer more information on the same.
If interested let me know.

Regards
Robert