Well, she hadn't actually witnessed the brutal murder, and there was no clear cut answer about the whole 'running away screaming' thing. After all she had seen worse. She had caused worse. She did flinch a little when he shouted, "You?!" but regained her composure after a second.
The woman seemed almost content to just stand there, but when she sensed Kain trying to get into her mind she quickly pushed back; finding it a little more difficult to keep him out. She succeeded though, and that gave her some relief.
At his question; Alessa shrugged. "I wanted to take a walk. Heard this man's thoughts so I decided to check it out."
Of course Alessa probably should have made an effort to save the guy, but she knew she had found him too late.