Even in her grieved anger, Jareth's words hit the part of Sarah currently ripped wide open. This is what you've chosen, to bring them into it. She had, Jareth was right. It was Peter's choice too, a choice he'd made during the truth epidemic even after telling him the danger, but she had still brought the danger. And Peter had paid the price for that.
But she couldn't give up, she refused to let even the fact Jareth was willfully holding the phone out of reach stop her from making this a price paid with Peter's life permanently. She would get up and grab the phone from the bastard still spouting his delusions, because someone had to come and help Peter. Though it hurt her intensely to even try, not physically, but the emotions behind breaking their grips, Sarah attempted to slide her hand from Peter's.
It didn't work. His electrocuted muscles had locked, the brusingly tight grip they'd had voluntarily now one of permanence with the combination of his state and her adrenaline-locked grip. They were still connected and she'd put the phone in Jareth's hand where now she couldn't get to it easily. It wasn't possible to cry harder now, but she would have if it had been possible.
But before she could rally herself one more time, just enough to decide what to do next, Peter's hand tightened around hers. The Goblin King, his goblins and everyone and everything else ceased to matter as Sarah's world narrowed to their joined hands.