They are in fact almost there, but Soldat feels kind of distantly bad at the idea of leaving Inigo upset like this. "I know. I do know. I had people, back in Beacon. Some of them died. Some of them are maybe still there. I don't know if the train will put me back there, or back in the life I died from. Or somewhere else."

And they spent weeks seeking the lanterns of the ones who vanished. They still haven't come to terms with the idea of maybe never seeing Misty again. So they do understand. They just didn't think.