The girls were surprised when they hear the illusion suddenly talk, they don't think that the illusion that Rex made can talk since it never opens its mouth even once. Even back when meeting with Liliya, it doesn't say anything.
It made the encounter pretty awkward since the illusion is not talking but Adhara handled it.
But much more than the realization that the illusion can talk, the sentence that came out of its mouth makes the girls frown before looking around warily. Putting their backs against each other, the four of them created a circle.
Since they're Werewolves, they should sense if someone is watching them.
Out of all the aspects that a Werewolf can provide the strongest one is its senses, but the girls didn't sense anything in the surroundings except for silence and the occasional blowing wind that makes a whistling sound.
Despite their doubts, the one that said it is the illusion so they can't really say that it's wrong.
Swish...