Sylvia nodded to the guard, and she answered him, "Thank you! We'll be back soon!" 

Once the gates were open, she continues to follow Jackson as best as she could. She was a little out of breath by the time they reached the cave like structure with makeshift door and lock. Jackson's barking has probably alerted the thief, if they were still here, but she decided to continue towards the door. 

Considering that the makeshift lock was a rope, she decided to take out the hunting knife and try to use that to cut the knot in order to open the door. Knocking on the door asking the thief probably wasn't going to work in this case.