A policeman was set on fire by supporters when Crvena Zvezda played their last league game at the weekend.
He was also battered with seats and taken to hospital in a critical condition meaning there will be an increased police presence for Wanderers' visit.
"I hadn't heard about the policeman being set on fire but we need to just think about the game.
"They haven't won a game and we are looking positively at this game from which we can hopefully get three points and go through to the next stage.
"Because we haven't managed to win our home games in the competition, we have left ourselves with a bit of work to do. But, as we showed when drawing in Munich, we are confident of getting a result."
Megson has made the crucial relegation derby against Wigan on Sunday his top priority by leaving several of his top stars at home.
Speed reckons the manager is right and added: "The UEFA Cup is not our priority - obviously the Premier League is because of the position we are in.
"You have to juggle things around but we still feel we have the strength in depth to go out and get a result here."