The movies treated Helm's Deep as a retreat. So if Theoden says he's retreating to Helm's Deep (expecting an attack on Edoras) there is no sense in leaving the women in Edoras. Or even taking the women to Dunharrow, because people would wonder why Theoden isn't going to Dunharrow with them. This way, the women, children, and soldiers, expecting Edoras to be attacked, retreat to Helm's Deep.
Helm's Deep was also made as a retreat in the books. Remember, the women and children there too? Also, Erkenbrand sent back 1,000 soldiers, waiting for the attack. Only thing is, Theoden knew he was going to war, so that's why he sends the women and children from Edoras to Dunharrow.
The thing that doesn't make sense to me, is Helm's Deep is closer to Isengard then Edoras. So if Theoden was trying to retreat from a fight (which he was expecting Edoras to fall under attack), why go even closer to the enemy? That's the thing I can't understand, unless Theoden thought that Saruman would not have enough to lay siege to Helm's Deep.
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