Feng left Mount Meng albeit very unwillingly. After all, he wanted to build up his reputation in the Dongyi tribes, now that he left the alliance army, he could not achieve his plan anymore.
He was a proud man, coupled with the suppression by Yunyang and the demon saint, he knew he had no opportunity to shine. In addition, going against Yunyang had cause instability in the alliance army. Although Yunyang was being compromised, he was finding an opportunity to eliminate him.
That was the real reason why Feng caused a scene and found an excuse to leave, or else he would be killed by Yunyang, sooner or later.
Once out of Mount Meng, he could only return to Fenghou's. When he left he was filled with ambition, now he returned with zero achievements. This left him very embarrassed.