Grey and his group left the Palace, along with the Seventh Prince, heading towards one of the Kingdoms under the rulership of the Second Prince. They wanted to start their plotting from there, and with the help of Nigel, Grey was able to cajole the Second Prince into actually inviting them over there.
The group moved out in a carriage, hiding themselves. The First Prince was still investigating the identity of Grey and his friends, and wanted to make sure he got to know about everything they were up to. Grey didn't want the others to know what they were up to, so when leaving, he had Void and the bunny leader hide Klaus and the others in his storage ring.
The bunny leader has long since sent out multiple little bunnies across the entire Palace, so they were informed about almost everything happening there. Even the talks of the servants in the Palace were relayed back to the bunny leader since they wouldn't know where any valuable information might come from.