I'd love to be cooperative and say "Sure he'd go," but he wouldn't because he really has no reason to trust Valak's judgement. He's also aware that the candle is reacting and Ferrin is near, and he has even less reason to trust HIS judgement right now.

So if Valak said "Come," and walked out the room Dornae would raise an eyebrow, tell Mithera to come with him, walk out the room, and go to a window where he could properly see who was outside. Or he might say "Why exactly," and not allow Mithera, who is clearly terrified and largely incapable of defending herself it seems, from going with him.