I'm more confused as to where they went than annoyed that they left. I'm hoping Kharees can catch up with the others, wherever they wandered off to, so that the story can continue. In the end though you're simply giving her more time and more legroom to steal soulstones, a very dangerous task to undertake in the first place.

So yeah, explain where they are and whether or not it's possible to bump into them again. Besides; there's nothing stopping the others from sticking around in the ballroom if they'd rather pursue the intruder!