Precious few of the people here are helpless civilians, Detective. They are warriors, rebels, powerful magicians, royalty - used to making their own decisions, heading straight into danger, not uncommonly against the very orders of the law. [And then there's Sebastian, who fits into this by being a completely ordinary butler...]
That, I would humbly suggest, is "why".
[Not that he's the tiniest bit annoyed with her right now or anything.]