They've thought about this. Going back to the world they came from is... not an option. Only if they somehow went back to the exact moment they'd died in, and somehow avoided dying again, and managed to go back somewhere close enough to save Steve....

And Beacon might not be an option, either. They don't know if it survived the World Eater, and even if it did, it might not be hospitable to the dead anymore. "I don't know. If I could be sure it's possible, back to Beacon, maybe. I might just stay here, if Beacon's coming back to life or if it died the rest of the way. My people might not be there anymore."