Dolor doesn't, particularly, have any attachment to the noble she helped rescue from the mob - it seems entirely possible the girl is exactly the sort she would have loved to ambush about a year ago, if the things they say about Vampires are true. It's also possible that they're all nonsense, though, and she's not inclined to take the word of bandits for it, so instead she goes to make sure they actually made it out of the rope trick alive and she doesn't need to go hunt down more criminals about it to figure out what happened.
The sign on their lodgings says they've relocated to the palace. That would have been convenient to know before, since she just came there from the palace, but extra walking never hurt anyone who didn't have it coming.