I cant speak for the others, but Lucilia is just making sure that Orleah doesn't take potshots at Grey. The fact he's still alive makes him much more useful to Lucilia, since she now has someone who can match Heus strength while she deals with finishing off the demons. Besides, she's a support type anyways. Of course she's going to help out however she can.

As for Alaira, she's done her part. More demons will come, sure, but now were ready to defend the Infirmary from them. The guards and healers can bunker down the hatches until reinforcements arrive, which should be soon.