He was granted that privilege because of me. Or, well, the PTB actually granted it, but I'm the one who convinced them to do it.
Scout's one of mine. He needed Pyro here who, by being alligned with him, is also, by proxy, one of mine. I spoke to the PTB, and they agreed to let him go. They knew he'd be back because I knew he'd be back.
As for why you likely can't leave, my best guess would be that this isn't your world so there's no reason for you to be leaving the city.