Arthur and Lucy didn't remain in that area too long. They achieved what they came here to do so they should leave, or so thought Arthur. However, it wasn't as simple as that. If it was just to do this much, he wouldn't have come all the way from the future to specifically tell Lucy to travel to this secret realm.
Sure, they got discovered but as long as they're not caught by the old man, everything should be alright. Before he left, Artid told them some interesting things, it appears that the Holy Dominion sent even more people after him. They arrived here a few days late, nonetheless, their motives were clear and from the looks of it, they dispatched more than just a Deacon this time around.
Furthermore, leaving this world isn't easy, to say the least. If one is powerful enough, they can forcefully break their way out but it is advised to wait until everyone is exiled back to Green Leaf.