That's a great question. In my perspective, I think they have both seen all there is to see in terms of authority. They have each experienced harsh torture and understand the consequences of acting on human feeling and physical affection. This earned them both serious pain and the will to work for humanity's roots has been worked out of each of them. The characters they are post-torture are completely different people who have no feelings, no conscience, and no concept for reality. The Party broke each of them in the Ministry of Love.
Fear is a feeling. All feeling is gone for each of them. They no longer had will to commit crime against the Party. They no longer had will to pursue relationship inappropriately with each other which would have been crime against the Party.
To me, the answer here can be found by thinking about why people should fear the police in the first place. They need to be afraid if they are doing something wrong -- something the police do not know about and would be angry if they did know. But now, those criteria don't apply. Julia and Winston are no longer doing anything wrong.
The police already know all about the relationship that the two of them had before and so it is not news. The two of them are not renewing their relationship, either emotionally or physically, so there is no reason that the police would be angry if they did know.
Overall, both of the two have had their wills broken and they are no longer a danger to the Party. Given that, why should they fear the police?